forbidden knowledge leading to the catastrophic down fall of a civilisation? millennia old ruins lost beneath eternal ice? figures calling upon barely-contained,otherworldly powers? the boundaries between life and death no longer as clear cut as they once were? all sounds pretty HPL to me!
I have also noticed a distinct option for Lovecraftian themes in the game and definitely plan on leaning in that direction for my terrain. one of the joys of Frostgrave is its very 'old school', open world feel. just about anything goes, and for the time being at least, its up to players to build Frostgrave in their own interpretation. if you want Frostgrave to look and feel like a cold Mordheim, go for it. if you'd prefer it to be the city of the Elder Things populated by Shogoth, then that's cool too. there is space for all those concepts.
that being said, is there any Eldritch horror in the actual mechanics of the game? not specifically. perhaps that will come with a later expansion, or, more likely, it will be something that fans can add for themselves.