What sort of figures are you thinking of, Agent Brown? If it's monsters that's one thing (though you can proxy lots of things like Ghouls or use Lizard Men as Deep Ones, for instance); if it's investigators that's another ball game. Loads of manufacturers do 1920s-1930s figures, from 'Gangsters and Molls' to 'Pulp Adventurers'.
A really good resource for this period is:
http://www.btinternet.com/~jprice9/minis.htmlIt says it's for VBCW (ie, Britain in the 1930s) but almost every company producing minis for the period 1900-1940 is there. There are hundreds of potential figures for investigators, cultists, local law-enforcement, meatshields, red herrings, hostages, casualties and other complications...