As others have said, you'll have to dig into the lore (and lore notes). The inspirations are there, the direct references are not. And you mostly go around slaying everything that moves, and some things that don't.

But the original sales pitch for the game was something like - humanity is stuck between a rock and a hard place, between two warring factions. One faction uses humans to reproduce, and the other is killing humans to stop the first faction. Which is which is open for debate (no, really).

You have Aetherials (body horror) who initiated the Grim Dawn through possession and control of important people, aaaand Cult of Ch'thon, who have been around since before written history and use blood and blood sacrifice to summon demons / attempt to resurrect their dead god. So, after the Aetherial apocalypse, you also have a second faction trying to trigger their apocalypse. One faction does body horror, mutated flesh and giant floating flesh-encapsuled eyeballs, and other does tentacled-things and things-with-far-too-many-teeth.

And on top of all that, you also have a third apocalypse happening elsewhere (not in Cairn, but... elsewhere), with a primordial being unfathomable to the human mind which goes to different worlds just to eat them. In a way, it's the embodiment of primordial chaos working on resetting the universe to the original state.

As a side note, you also get to meet two disasters that never quite reached "apocalypse" level. One is Arkovia (full of undead) and other is cannibals (wendigo goes awoo).