The frequency of stolen ideas in the gaming world is, frankly, near non-existent. The bulk of work in a game is not the idea, but the actual development and implementation.
Everyone has ideas; not everyone writes them down and develops them into a game or novel, etc.
Trademarks are "typically a name, word, phrase, logo, symbol, design, image, or a combination of these elements". (
https://en.wikipedia.org/wiki/Trademark). So a whole setting idea isn't really something for a trademark; the name of that setting might be more appropriate for that.
What you should be thinking more of is copyright, which applies to pretty much anything you write that is original text (that is, not giant quotes of other works). Every country has slightly different laws there, but generally it's more or less automatic to claim copyright, though for deeper legal protection there are different forms, etc. depending on what country you're in (I'm in the USA so not familiar with others).
As for integrating myth, folk-tales, and so on, yes, you can still copyright something that retells any of that, so long as it's your own words in the retelling.
Edit: and you wouldn't be the first to incorporate/re-tell/re-imagine myths in a game setting. There are plenty out there. Heck, I've been doing actual development on a game of my own for about 3 years now that's heavily drawing from Norse, Greek, Slavic, and Celtic myth. I've even run playtests of it at a couple of local conventions, but nobody's "stolen" the idea (even though I've gotten lots of positive feedback on it), because actually making a game is a lot of work. Especially if you're nuts like me and want to do a miniatures game and publish it yourself and also make your own line of models.
My advice is just start writing. In most countries, copyright protection is pretty automatic. There are some good boardgame design forums on Reddit where you can get lots of useful advice, find some playtesters, etc. etc.