As the Empire is to all intents and purposes Germany 1450-1650, more or less from the accession of the Hapsburgs to the Imperial crown to the end of the Thirty Years' War; and Brettonnia is France 1250-1450 (or something), I'd say where you want to be looking at is Germany, pretty specifically the Schwarzwald or Thuringerwald.
Apocayptic and flagellent cults, Thomas Muntzer, the Peasants War, The Anabaptists at Munster, Thirty Years' War... all of these figure in the mix of the Sigmarite Empire's style, history and associations. John Blanche (who's GW's main artistic driving force) is really into Breughel. So those to me seem the most likely places to start.
And German fairy tales of course...