Have you ever read warhammer 40k?
Think about that.
I think that using 40K as the inspiration for your AU set in the past in the real world is absolutely insane, and not only that, but bloody ridiculous as well. Plus, having no realistic enemies or the Empire makes this dumb.
I can easily see an unconquered western Russia allying with the United States as this empires adversary. Not necessarily a live war, but an arms race/cold war thing going on would be a good thing to occur to make your AU a little more realistic. Add a resistance within your nation, and all of a sudden you have a setting for exciting conflicts in the inter war period.
Just a suggestion.