Yeah. Not sure about tomahawks, and the Conan stories never refer to characters as Indian or Egyptian or whatever.
See in this page
http://conan.wikia.com/wiki/Picts, they explain that Robert Howard's Picts are a blend of the historical Picts and American Indians, particularly the Algonquins. Both the books and comics also mention savage black warriors rather frequently and one Conan story takes place in an Inca-like city. And in the Kull stories (Robert Howard too), many of the characters are tattooed Picts including a shaman in the royal court.
Apart from Worlds of Ultima The Savage Empire, here is a couple of other games worth mentioning:
Desperados: Wanted Dead or Alive. In the game, the player controls up to six characters in a wild west setting. You must capture a train-robber called "El Diablo".
Nethergate, a RPG from Spiderweb Software. You can play as either the Romans or the Celts.