(A whopper of a clue happened in the John Millius film when the Cimmerians are called 'Northmen'.) But as I delved deeper, I discovered clues now and then (some subtle, some huge) that Conan's world was Earth.maybe just in some sort of alternate history. Howard's fantasy, I first assumed the Conan character's home world had been built from scratch, so foreign were most of the geographic and ethnic terms to me at the time. I'm far from an expert on Tolkien, but the fact that his most famous fictional setting was a place called 'Middle Earth' suggests that he intended some sort of connection with historic reality.
Not the case with some of the pioneers in the genre, I would guess. Seems like most fantasy authors these days build worlds from scratch for their characters to quest through.