There was some discussion a couple of years ago about using Khador for Russians when we were running the Atlantis campaign. There was one battle at least that they fought in Atlantis - ushistoryprofessor's Russia v Spain (ie Khador v Menoth), fighting over access to the north-east coastal areas. When I win the lottery and can afford all the minis I want, I will definitely be building a Russian Khador force, but until then...
My biggest problem I think would be scale - the Warmachine figs tend to be pretty large in comparison to some manufacturers.