SANDBOX STYGIA!
If you want to get your hands on Volume 10 & 11 of the Dark Horse published Chronicles of Conan, you will have not only a fantastic read (these are some of the best Conan stories I've read by Marvel from any date, past or present), but you will also have a grand source of information from which you can build a sandbox adventure for your game!
This sandbox will be set in Stygia, featuring two City States--two of the only City States which do not fall under Luxur's rule. In fact, you can add some additional action and/or intrigue to your sandbox by introducing King Ctesphon's efforts to bring these two City States under the rule of greater Stygia. You can bring in Thoth-Amon, too, if you want, and/or some other Sorcerers of the Black Ring.
The two cities will mark the East-West borders of your sandbox.
Harakht.
On the east side of your map, out in the open, you have Harakht. The city lies south of the River Styx. The terrain is swampy, full of crocodiles and vipers. The city rises where the land becomes more firm, in the valley before the mountains.
Harakht is home to the Hawk Riders. These are giant hawks--only a handful of them exist--trained as aerial mounts for the elite riders.
This City State is ruled by two brothers, King Hor-neb and the high priest of the hawk god, Mer-ath. There is intrigue between them as Hor-neb is the stronger of the two. He rules by force, while Mer-ath is more subtle, preferring manipulation. Both want to be the sole king of Harakht.
Neftha the slave girl, is a schemer. But, you can't blame her. She's been a slave her entire life, and she is interested in two things: Survival first, then bettering the conditions of her life. Can you trust her?
Gol-thir is the Keeper of the Stone. He is a giant--a true giant--ironically living in the ground, in the Pit of Shadows where the sacred stone is kept.
Attalus.
The western side of your sandbox will feature the mountains behind Harakht. Through a secret mountain pass likes the Lost Valley of Iskander and the City State of Attalus.
This place has an interesting background. Alexander The Great founded the place. Somehow--through sorcery or some other means--the conquering king from ancient Greece went back in time with his army and found himself in this valley. He founded a city here, Attalus, and to this day it is ruled by those of the lineage of the Greek General that Alexander left in command of the city.
The greek ethnicity of the place is evident to this day, as isolated the city is from the rest of the darker Stygians. Attalus trades with one other City State, the independent Harakht, who endeavors to keep its knowledge of the lost valley secret, per the wishes of the Attalus king.
The Eyes of Set are a pair gems, shaped as eyeballs, kept by the rulers of each city. They symbolize the connection each city has with the other. In your game, you can make them magical--it would fit. Each city keeps one of the Eyes. When a new ruler comes to sit on the throne, an envoy is sent to the other city, and the Eyes are exchanged. In this way, Eyes of Set are forever kept separated (what would happen if they are brought together?), both changing hands for location in the other city.
Hun-ya-di is a one-eyed priest from Harakht who lusts to capture Attalus for himself. What if he took an Eye of Set and placed it in his empty socket? Hun-ya-di leads an army of faithful, all skilled with the Stygian longbow. In the comic, he takes this force and attacks Attalus.
Bardylis is a blonde female citizen of Attalus.
Ptolemy is Attalus' king.
Ablah is a fork-tongued trinket trader from Harakht who traffics with Attalus.
Viper's Head.
At the base of the mountain lies a large swampy region separating Attalus from Harakht. The Viper river flows through this region giving the surrounding thick forested area its name, Viper's Head. It is said that a colony of First Men live, secluded in this area.
Viper's Head is also home to several tribes of Kushites, and recent rumor says that these tribes have been united under the Kushite shaman, Toroa, who wields the power of his dark god, Damballah.
Sabia is known as the Bride of Damballah, who can mesmerize a man through her Dance of the Skull.
GAMING MATERIALS
Besides the two Volumes of The Chronicles of Conan that I mention above and a copy of the core rules, I suggest you use these other two supplements when creating your sandbox.
Stygia: Serpent of the South. This is a hardback sourcebook for the kingdom.
Bestiary of the Hyborian Age. This is a hardback collection beasties to put into your game. You'll find crocks and vipers and darker, unholy things that are eager to gobble up your player characters. You can combine this with the Bestiary chapter in the core rulebook.
You may also find useful....
The Scrolls of Skelos /
Secrets of Skelos. These are two softback books devoted to sorcery. Secrets is a Second Edition re-writing of Scrolls, but it adds so much more material that I consider them two separate books (though there is a good bit of cross-over). Either book, by itself, is helpful.