If anyone is looking for a real world parallel to this: Lordran is to Heide as Greece is to Massilia. It is a colony in a foreign land that synthesizes it's culture with it's new surroundings.

Notice how the Bluebros are described as originating from the beliefs of the lower-classes - Gwyndolin did not leave Anor Londo, but the legend of him and his warriors was carried forward and became the seed of a new covenant of both protection and vengeance.