Western Asia, 7th century BCE.
It was a time of empires in decline, when Egypt was in turmoil, the mighty Assyrian empire maintained a precarious dominance, and the Phoenicians ruled the Mediterranean waves. It was then that, as Herodotus tells us, "...the Cimmerians, driven from their homes by the nomads of Scythia, entered Asia and captured Sardis, all but the citadel." For decades the barbarian hordes ravaged Anatolia, often seeking only loot. "For the Cimmerian attack upon Ionia...was not a conquest of the cities, but only an inroad for plundering." Before they were vanquished as an effective fighting force by king Alyattes II of Lydia towards the close of the century they had clashed with imperial Assyrian armies, brought Phrygia to its knees, and ravaged the kingdom of Lydia. Who knows what other exploits they had, what solitary adventurers set out form among their ranks and what dangers they faced?
Of course Howard's stories were not historical, and his Cimmerians were not the ones of history. But I think the history of this period is just as exiting and exotic as the imaginary world of Hyboria. It was a time of brave Greek mercenaries, wise Egyptian sorcerers, wily Phoenician merchants, Etruscan pirates, fierce priestesses of Ishtar, and of course rugged Cimmerian barbarians.
However, there are a few historical details that may challenge the average role-player. For example, coinage had not yet been invented. At that time people mainly used weighted bits of metal as currency. It was the Lydians who would mint the first electrum coins, but it would be centuries before the system was widespread. And at the same time the Lydians were also just inventing the inn. I think that facing a world with no inns or coins might reduce the average gamer to a twitching wreck. You could fudge things, and add those conveniences to make things comfortable for the players. Since there's going to be magic and monsters in the game there's no need to be a stickler for historical detail. On the other hand, sometimes it's fun to watch the players twitch. It's your call. In any case, your chariot awaits...