Mm. Lovely to see some interest. :3

In terms of a shared backstory, I don't want to place an absolute on that beyond a very simple starting point - your characters all work for the investigation firm (Name to be revealed in an OOC, if we get there), and you've worked together for some little while. You don't have to all like one another all that well - I don't expect everyone to be standing around singing kum-bah-yah, of course. :3 Still, you need to at least be on the same side - which is the [i]nominally good-guy[/i], story-protagonist side. :3

As far as lore goes, this trends more the other way - in general, the spooky stories in the world have their basis in truth. Somewhere out there, there's a creature that inspired myths of selkies. In the  mists at the edge of civilization, you'll find the basis for Jenny Greenteeth. Japanese [i]obake[/i] very likely terrorize people, and somewhere, someone's covered up a story of a Rakshasa or a Naagloshii.

Gods and godlike beings are a different story - there may be something behind those stories, but the "state of knowledge," such as the characters and the world have, suggest that they're very likely flights of fancy.

Hope that helps! :3