I had a similar thought for a time travel game - a small group of heroes travelling through time to collect artifacts and or get involved in historical events (such as starting the Great Fire of London).
One thing to consider is how many figures you will need. With the scope you really want small numbers unless you can double up on figure use, otherwise you end up needing to buy a lot of figures for each game.
Rules - there are many to choose from, but I was looking at either .45 adventure or Where Heroes dare, but another option is the Ganesha Games series that way you can add modern firearms with spells and monsters etc without too much effort.