I get the feeling I wrote about something like this before, but it came up in a Google Plus thread and I thought I'd preserve an expanded version of my response here. The question raised by James Maliszewski was: why does alt-history or history+magic (or +zombies, or +supers, or whatever) seem more popular than pure historical settings?
The way I see it, "Setting" in its simplest form has two elements, its Look and its Feel. The Look is the minutiae, the details; the Feel is the genre or theme. Thus, you can have Wild West Adventure, Medieval Fantasy, Interplanetary Mystery, Modern Horror.
The Look is narrow by default. The stricter the GM, designer, or writer, the more narrow it is. It's possible for the Look to be very loose, disregarding historical dates for historical settings or hard facts for speculative settings. It's also possible to mix two or more Looks to create a diluted, loose Look (Steampunk Wild West.)
The Feel is much broader. Fantasy, specifically, is very broad, since it really is a bundle of a couple concepts (magic, fantastic beasts, fantastic places) which might not all be present in a given fantasy setting.
People buy what they are interested in. This shouldn't need to be mentioned, but it's easy for us to forget when we are really into something and other people don't seem to be. Narrow interests appeal to a small audience, broad interests appeal to a broad audience.
Pure historical settings, especially the more realistic ones, are very narrow. People who are really into 1880s American History may like westerns, but people who prefer the Late Roman Empire might not have any interest at all. A Western Adventure, on the other hand, appeals to both people into 1880s American History and people who like adventure stories in general, so it has a slightly broader appeal than a dry history text. Alternative history also has a slightly broader feel, since it will probably be less strict and combine elements from one or more other Looks. And if the alt element reflects an unusual Feel (Wild West Fantasy, Medieval Horror,) it can have a very broad audience indeed.
D&D has been popular because its basic Look is a very, very loose Medieval setting, the kind almost everyone is exposed to through fairy tales and King Arthur/Robin Hood, mixed with haphazard additions from Greek myth, sci-fi, horror, lost world adventures, and many other sources. Its Look is thus pretty broad. Its Feel is, of course, Fantasy, which is perhaps the broadest of the common Feels, even when not occasionally mixed with Horror, Weird Tales, or other Feels, as D&D often does. Straight Historic Western, on the other hand, is pretty narrow, although more popular than some other historic settings. Thus, Straight Historic Western RPGs aren't as popular, not because of any inferiority of their product, but because they are designed to appeal to a narrow audience.
I repeat, to emphasize: They get a smaller audience because they are designed for a smaller audience. As much as fans of a particular historical period may wish otherwise, no historical RPG or historical fiction is going to beat the popularity of something specifically designed for broader appeal. Occasionally, you might get something released right as there's an incredible upsurge in popularity for a particular narrow interest; if an Historical Western RPG had been released in the early '60s, during the big Western Craze, it would have been huge. I think to a certain extant Vampire: The Masquerade was so successful because it tapped into a huge vampire-as-goth-anti-hero fad; there had been previous RPGs with traditional horror elements, but none had the popularity of V:tM, because the audience wasn't there.
This bodes ill for my atomic age horror RPG, when I release it, but then I'm realistic about how small my audience for it will be. I'm not doing it to become hugely popular, but because I want that kind of game to exist.