I didn't mix historical periods yet. (don't see the point in a medieval "hitler", when we can have a hitlerian any other guy).
My fantasy game with a family that never existed is to insert another character into the game in the place of Alexios Komnenos in 1081 (did this before that start point was added in the game). The purpose was to restore Wallachia and create a vlach legacy earlier on. But because the vlachs are vassalised by pagans, I couldn't insert a character in romanian areas -> so this is why I had to think of alternatives. The whole idea is based on: hey what if someone else, other than Alexios, would have saved the BE? Ta daa... This turned out a great idea (unless i wanted to change the game files). Historically, this was the only other way a romanian lord would have been able to really claim that land before the 1300-1350s, and to come from an outside land. The pechenegs and cumans would have made that too difficult.
This turned out even better then I planned. You can play this fantasy with bulgars, serbs, armenians.
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But playing historical characters is also fun: playing Saladin as a villain or to keep close to his legacy? Yes... nice. Playing historical characters keeps me playing more and being more engaged. So I prefer it a lot more than inserting characters.