I guess there are two traditional sources for fantasy settings: real-world cultures, and the mythologies of those cultures. I've encountered a lot of fiction set in British fairylands, and a little set in Russian fairylands or Japanese-ghost-story-lands. Suspect it can get a bit appropriationey if you base a fantasy setting on someone else's actual current religion.... What little I've encountered of Native American / First Nations mythologies seem to follow a bizarre and fascinating sense of narrative logic very different from anything else in the world. But I'd feel a mite itchy about pinching it.