According do REH only SOME of the Cimmerian clans became actually Celts (The Hyborian Age part 2 or Conan RPG page 247). These were only the pure-blooded clans, so calling Conan "celtic" is just a misunderstanding, as he wasn't pure-blooded.
Celts are cimmerian, but Cimmerians aren't celtic.
Celts are cimmerian, but Cimmerians aren't celtic.