Honestly, any of those as rough concepts sound fine. There's absolutely nothing wrong with putting Jonah Hex and the BPRD together. I will say, though, that you don't need to worry about a reason or means that whatever character you app gets involved in the story. That will be handled as part of the narrative. So no worries about having to justify that, just come up with the best character concept that interests you.

I will say that I'm surprised, though, that not a single person so far has expressed interest in bringing back a previous character from a comic game they never got to truly explore.