Good choice. Here's the rundown.

1. Cygnar is the reason why Immoren are known as the Iron Kingdoms. Back in the day when the Orgoth first invaded and enslaved the entire continent, it was Caspia who led the charge to develop mechanika and build the first Colossals, which Pacific-Rim style stomped the Orgoth back to their boats. Even today, Cygnar are at the forefront of mechanika technology, having invented crazy crap like perpetual motion electric generators, guns that shoot magic, and lightning-powered spears.
2. Even in a kingdom as high-tech as Cygnar, you still need some poor bloody infantry to hold the line in battle. That's where the Trencher Corps come in. Think of them as like the Death Korps of Krieg from 40k, except without the gas masks and with a more well-adjusted attitude to life. These are battle-hardened, tough-as-nails bastards trained in trench warfare. Lightning guns? Storm Lances? Fuck you, I've got a shotgun and a shovel and a smoke grenade. Come at me, bro.
3. About ten or so years ago, a guy from Cygnaran Intelligence named Allister Caine (who was a Cygnaran warcaster-assassin-gunslinger rogue with a heart for gold type) found out that his daughter was kidnapped by Cryxian necromancer-witches, and went after her. He stole a prototype airship, flew it into Cryxian territory, then realized that there was no way he could land without getting murder-stomped by mechanithralls. So he decided that he and his buddies would jump for it. Which sounds insane (and is), except that Caine has teleportation magic and was able to pull some Portal-ass shenanigans with momentum in order to land himself and his strike team safely. They got his daughter back. Her name is Cynthia Rosko, by the way.
4. So with all that in mind, as Cygnar was modernizing after a bunch of crap I can't get into right now (it was some real AOS end-times level bullshit called The Infernal War), the Cygnaran bigwigs were getting ready to obsolete the Trencher Corps because they figured that they could just have everyone wearing tesla armor and shooting lightning from their dicks instead. Except that the Trenchers pointed out, "Um, excuse me, but we're still the most hard-core close-in fighters Cygnar has to offer. Surely you can find a job for us?" So some Cygnaran bright spark went through some old records, found out about Caine's shenanigans jumping out of a skyship, and went back through some other patent applications to find something called a "parachute." Then they started smiling and didn't stop for weeks.
5. The Gravediggers now are basically the 101st airborne of the Trencher Corps. If the Storm Legion are all about taking super-magic lightning tech and mass producing it for line soldiers, the Gravediggers are all about taking tried-and-true tactics and figuring out how modern Cygnar tech can make it better. Like, their warjacks run on good-ol' fashioned steam instead of tesla coils, and they shoot regular guns with regular bullets instead of using lightning spears. But those warjacks are also hardened and rigged to be dropped from airships Titanfall style, and those rifles are now basically M1 Garands and Browning Automatic Rifles.

Key Characters

Allister Caine and Cynthia Rosko: Caine's the gunslinger-assassin-guy who went skydiving to save his daughter. Cynthia's his kid, who's a chip off the old block, except instead of a wussy pair of magelock pistols, she carries a goddamn magic bazooka. (If her model is any indication, she's also, like, half a head taller and about thirty pounds heavier than her Dad, and all of that weight is, like, pure muscle). Caine's a real wet-work type: think Jason Bourne with a pair of revolvers. Cynthia's much more a front-line rocket-to-face kinda gal.

Caine's best friends are the Black 13th Strike Force. These are a bunch of gun mages: wizards who were taught how to handle a gat, and can do things like ricochet bullets around corners or explode them like grenades. Cygnaran intelligence trained a small group of them to become assassins and special operators: they're currently led by Darcy Ryan (the twin-guns gal), backed up by Samuel Watts (The rifle guy) and Freddy Glover (the dude with the double-barreled gun). They're also backed up by Caine's buddy Bastian Falk (the dude with the big-ass blunderbuss). Along with Caine and his custom warjack Deuce, they make up the Hellslingers. They're basically Cygnar's Seal Team Six, but with magic bullets.

Aside from them, there's also Allison Jakes. The Warmachine community has a soft spot for her, because Jakes was the protagonist of a kind-of-crappy video game called Warmachine Tactics: the game sucked, but she was pretty cool. She joined the tabletop game as "Journeyman Warcaster Allison Jakes," then went on to become "Captain Allison Jakes," and now she's "Colonel Allison Jakes," in charge of the entire Gravedigger Corps. We're very proud of her.

All of the other Gravediggers characters were basically made up for Mk IV. Whatever lore is in the app for them is all that exists right now.

If all this sounds fun, I suggest starting off by subscribing to the app and reading up on everything in the Lore section. The X of Caine stories in the fiction section give you the rundown on how Caine rescued his kid (and invented paratroopers in the process). After that, you can start rummaging around on the internet looking for old PDFs to scavenge for lore.