The Pathfinder game I'm in definitely has some of the grim dark from Warhammer. All of the PCs have at least major insanity now, most of the NPCs have a blown fuse or two also. My first character had a mental break down so bad I had to start a new character. Had to leave a party NPC behind because his PTSD was so bad he couldn't function. It's been fun times.
Might want to tell your DM to check out the Rotgrind setting for inspiration - one of the co-creators is Thurston Hillman, so it's as close to first party as Battlezoo is.