Mêlée based, fantasy themed Warhammer 40k army?
Melee combat can be effective in 40k, but armies that focus on it to the exclusion of ranged combat will have serious issues.  Armies like Eldar rely on their shooting to reliably destroy tanks.

That being said many of the 40k armies have fantasy analogs, and most of the armies can field dedicated melee units.  Stylistically, armies like Grey Knights stay pretty close to their fantasy roots.  Chaos demons even use the same models between both games.

GW gamers all also very tolerant of themed conversions.  You can kit-bash Fantasy and 40k kits together to give a more sword and sorcery look to your grim dark.