Mike Mignola built Hellboy's origin around a piece of real historical texture that most superhero comics do not bother reaching for: a named, documented secret society. In Seed of Destruction, the 1994 miniseries that gave the character his first standalone story, the villain Karl Ruprecht Kroenen rises to head the Thule Society, the actual Munich occultist and völkisch group active after the First World War, and turns its resources toward Project Ragna Rok, a fictional Nazi occult ritual conducted with the historical mystic Grigori Rasputin that ends with Hellboy being summoned to Earth.
The Thule Society was real, and the völkisch occultism it represented is a documented, if minor, current in the intellectual soup that fed early National Socialist symbolism, presumably why Mignola reached for the real name rather than inventing a stand-in the way most comics do. Using the actual name buys the story a textural authenticity an invented secret society could not supply, at the cost of asking the group to carry a load of pulp villainy and apocalyptic ritual magic the historical society, whatever its own pretensions, never actually attempted.
It is worth noting where the naming lives and where it does not. Guillermo del Toro's 2004 film keeps Kroenen as a villain but rebuilds his backstory around body modification and plain Nazi Party membership, dropping the Thule Society detail entirely. The comics carry the fact; the films, once made, chose not to repeat it, a small piece of evidence about how differently a real esoteric organization's name travels once it crosses from a page curious readers will look up into a medium built for a broader, less patient audience.