As often, my choice of words wasn't careful. In fact I don't want to play a truly historical setting. My idea was of taking some period of history and build a campaign upon it. Lets see this one as an example:
-- Dark Ages 500: Roman empire is crumbling as west is swept by barbarian hordes that destroy civilization. Roman empire being decadent cannot stop the barbarians.
-- Larger than Life: Have seen movies such as Gladiator or 13th Warrior? Obviously equipment and building are better than what they truly were during these periods. I would do the same, and maybe even more exaggerated.
-- Adding the Supernatural: Not only magic and monsters are real, I want more. I would pretend this: in fact Roman were not only decadent, they were becoming more and more chaotic, dabbling in sorcery, summoning of demons, etc. Their doings brought chaos in itself, and as a result the forces of nature (represented by barbarian hordes) retaliated with savagery. What I mean is, that under the rationale course of history were occult and supernatural forces at work.
-- Maybe add a really weird D&D staple in it. For something more Cthulhu like, it appears that antediluvian abominations were brought back to the world by the careless doings of Roman necromancers. These would be the Mind Flayers, whose agents are dopplegangers; and adding some deep-ones wouldn't hurt either.
Of course, all of this is off the top of my head as I am writing, and would need more thinking. But the idea would be to use historical Earth for doing something fantasy, but with more subtlety to not break the suspension of disbelief. At least making something similar to Cthulhu Dark Ages, but in heroic d20.