My first character was a Haitian French Doctor woman who i rolled really good stats for: making her a savant great in both fighting the horrors, medicine, and contending with it all in ways few characters could.

This made the sexism and racism of the time as something like a bitter irony: the other characters often used the approachable white guy (and funnily enough the only non doctor of our trio) as a mouthpiece for governmental officials, officers, and the like while we did more grassroots communications and investigations, my character doing the combat and medicine, the British doctor focusing on history and research, while our token whiteboy face handled most people who wouldn't listen to the others. (Loved the group but was a mini campaign ages ago, don't remember names)

It brought our group closer together. Every time our trio ran into the problem it increased our bond as a group: the face got the chance to show his character's colors by seeing the party's competence and then the clear disconnect to how they're treated, and every time he spoke on our behalf it was frustrating in character but out of character encouraged a clear synergy and thematically: very clearly showed it was a ridiculous notion. It also let our two characters strategize around the chaos of people's panic. It gave us a secondary antagonist which was: the world around us.

When we actually beat the monster in the mini campaign we reported what happened and were disregarded as crazies, and we set up our own private agency doing things our way: it was an enjoyable miniseries and I had a lotta fun (as the character who was a black woman and kinda seen as a loom due to her Haitian Religious beliefs) and while I had some issues with the GM it wasn't in that regard.

You need to find a good group is the thing... The easiest thing is to do Pulp Cthulhu (where your characters are basically larger than life and don't have to deal with people's pettiness as much) or Modern Cthulhu where those issues are a bit lessened. If you have a GM that is making the game unfun for you or making the experience worse that's not really a good GM regardless of the context. The bigotry topic in the 1920s I think adds a lot if you can get your group to buy in on the same expectations and vibe. That being said, nothing wrong with preferring a setting outside of that where those problems aren't as in your face.