Clockwork Goblin have the beginnings of a nice range of weird war in 15mm (clockworkgoblinminis.co.uk) & minis to represent soldiers & vehicles are easy to find, (Battlefront, Heer46, Forged In Battle, Peter Pig, The Plastic Soldier Company etc.). However, finding minis to represent investigators & Lovecraftian monsters is a bit harder. I think that you'll mostly have to use existing 15mm WWII figures & paint/convert them appropriately, while for monsters, the 28mm versions of some of the bigger creatures would be fine (the difference in size would actually be a good thing for representing, say, the bloody tongue incarnation of Nyarlathotep - the RAMF version would be perfect).