Why would people would be disappointed if it is a fantasy-themed game? I mean, "fantasy" can mean a LOT of different things. It doesn't have to be a generic fantasy world.
Especially since Paradox has been working on the lore of Runemaster - it could very well be some kind of grim low fantasy world with Vikings and all. Or it could be a Sword&Sorcery pseudo-Bronze age fantasy setting... etc. It could even be argued that all Paradox game are fantasy, just some more than others, and all of them are science fiction anyway (because that's what alternative history is).
At least provide some arguments, please. Do you fear it'll be an oversimplistic fantasy world? Or are you snobs that just think hsitory-inspired games are inherently superior? Do you simply dislike fantasy as a genre?
'Cause you know, there aren't that many great AND original strategy fantasy games lately. And fantasy can be very different things anyway, many of which having never been explored in strategy games.
Personally I doubt it'll be high fantasy at least. I don't think it's something Paradox would do right after Stellaris - they are still experimenting with the creation of new worlds and people, they will likely use the real world at least as a base for their next game. And there are too many of them already anyway. Paradox would probably go for something fresher than your usual elves, goblins and dwarves if they chose to make a fantasy game, especially since Triumph is already making this kind of games.
I think it will be more like CK2 than HoI (for example), in the sense that you will be able to alter the course of "history" to a large extent. I have no clue about the time frame (well, except that Norway won't be on the map).
I would be rather disappointed if it would be centered around only Rome or a very specific region, especially if the game forces you to follow certain "historical" paths. Replayability is one of the main reasons why I live Paradox games and got bored very fast with Hearts of Iron.