I'm an avid Conan fan,so I figured I'd add a few suggestions/corrections -
(1) This might seem a little far-fetched,but since the Hyborian Age took place during the last Ice Age,you might consider replacing elephants with mammoths?
(2) Corinthia,Brythunia,the Border Kingdom,and Hyrkania weren't unified kingdoms,but loose confederations of city-states. How that would play into a Total War faction,I don't really know at the moment (maybe a higher chance of settlements rebelling than in a unified kingdom?).
(3) Personally,Aquilonia always felt more Greco-Roman to me,so maybe compliment its medieval culture with some Greco-Roman elements such as Legionary infantry?
(4) If you want to remain as Howardian as possible,cut Acheron from you list of possible factions. The Acheronean Empire fell some 3 millenia before Conan's time.

If you want a near tell-all of Conan and his world,get a book called "Conan: the Ultimate Guide to the World's Most Savage Barbarian". It'll tell you just about everything REH wrote on everything Hyborian