I know that the developers have already said that there will absolutely not be any magic or dragons.
I don’t know much about what people believed in the middle ages, but based what I’ve seen from movies and tv shows, I’m sure that they must have believed in super natural powers.
Some examples is something like a woman that’s a witch being burned alive by the villagers. When the player investigates about it, they will find out that she was actually a herb specialist that was trying to heal/kill someone.
Or a myth that a dragon sleeps in a cave and eats anyone who disturbs it. And when you inspect it, you see human bones and… a bear.