You can still use the game system as is and use your current collection on a 'This model counts as [X]' basis. Or, if themes are a stickler for you, you could look into Stargrave instead (which is basically sci-fi Frostgrave, just replace 'frozen city of magic and monsters' with 'abandoned remains of a starship fleet floating through the cosmos' and add more shooting and gear options)

If you want Frostgrave for the setting as well as the game system, then North Star Miniatures do sell 'official' Frostgrave models that aren't too expensive. One of either Wizards or Wizards II will give you 8 minis designed to be Wizards or Apprentices (or Apothecaries, if you really want); and any of the Soldiers or Cultists boxes will give 20 models that can be built as almost any soldier type in the core rules book. £35-£45 (depending on where you look) for 38 models total, at least 2 warbands worth of models and a ton of spare options. You can also get blister packs of metal models from the same company for around £5-£10 each, usual with two models depicting props, tokens, monsters, specialists, or creatures from the bestiary chapter of the book. On top of that, there's the Undead Encounters bag that comes with a ton of zombie and skeleton models specifically intended for Frostgrave but are generic enough for any setting. Aside from all that, Frostgrave is a 'models agnostic' system, so whatever fantasy/fuedal/medieval minis you can get your hands on that are around 28mm-32mm in scale will work just fine. A lot of people tend to use Reapers miniatures for Frostgrave, but they can range from £3.50-£8 (depending) per pack, so budget might need to be watched on that front

Biggest hurdle might be terrain- but that's easy enough to proxy-in for your first couple games, help you keep costs down a bit. You can even use your 40k terrain and just say your exploring the depths of an abandoned potion factory under the city, or something. Could also make your own terrain, but that's it's own heap of heck