Ah yes, I just remembered something I've wanted to ask for a long time, but never got around to post on the subject.

I find that the mythologic creatures and old wives' tales give the game a really nice ethereal and mystical touch.

For example, one of the prominent ones - does anyone know if shabnak-adyr, the clay caniballess actually exists in Russian mythology?

AFAIK, no. I think this entity is collected piece by piece from several myths. One of those may be http://en.wikipedia.org/wiki/Baba_Yaga

Baba yaga is not that bad. Actually she's commonly used in Russian folklore tales as a trial conductor for the protagonist. She' neither good nor evil, she's neutral. And I really doubt that she was the prototype for the city's troubles.

I would expect the mythology to be based on Turkic rather than Russian mythology. Russian mythology is tied to Western Russia, which is clearly quite alien to the steppe-based, desolate setting of the game. I'd say it's largely self-invented with a Central Asian, shamanist flair.