I tend to believe that almost all fiction is set in alternate universes to our universe, depending on how much details the fiction gives about persons, places, events, etc. and how much information about that time and place.
If a story is set in a first world country at the present, you can google the characters' names, for example, and you will probably find there are a lot of people with those names, but none living at their fictional addresses or having their fictional occupations.
Thus when you suspend your disbelieve in a contemporary story, you can suppose that the story must be in an alternate universe where those people live and have those occupations and addresses.
As a general rule, the farther back in history one goes, the less the information that is available, and the more latitude there is to make up details without fear of contradiction by nit picking historians. But there are still possible sources for much of the information a writer of historical fiction might need.
Suppose you are writing a western movie or novel where Geronimo the Apache is a character and want to know how old Geronimo would be at the date he appears. The logical thing to do would be to see what Geronimo's Story of His Life: as told to Stephen Melvil Barrett (1906) and his entry in the 1900 census at Fort Sill, Indian Territory, say. Of course they disagree about his birth year by 6 years, but that gives a rough idea. And if you base Geronimo's age on those sources you will make his age a lot more correct than many movies and tv episodes do.
I really like historical fiction that mix both fictional and real events. It is especially enjoyable to recognize recognize clever use of historical events I already know about.
The movie Drum Beat (1954) has a scene with Johnny McKay and Captain Jack that is fiction, but happens right after a scene with Captain Jack and a preacher that is allegedly true.
I didn't like the way that the film Tower of London (1939) had a 35-year-old actor portray a prince who was 17. And I really hated the way that a tv episode had a 58-year-old actor portray a historical king who very famously was killed at the age of 14!
Alfred Duggan's novel Family Favorites has many fictional and real incidents set during the reign of Elagabalus. I enjoyed how the narrator, a centurion, is depicted as the unnamed centurions mention in an incident in 218 and another one in 222.
George MacDonald Fraser's Flashman stories and novels put Flashman into many real events. Readers of Flashman (1969) might possibly be a little puzzled by a brief scene in the retreat from Kabul with Flashman, another officer, and an Indian child. They might wonder why Fraser depicted Flashman in a rather negative way. Actually Fraser simply put Flashman into the situation recorded by the other officer.
Thomas Berger's novel Little Big Man (1964) has many fictional characters and events as it traces the life of Jack Crabb or Little Big Man in the American and Cheyenne societies from about 1852 to 1876. I recognized some of the events in Jack's Life as real historical events I already knew about - much more so than in the 1970 movie which is much less historical.
The story is supposedly told by 111-year-old Jack Crabb to Ralph Fielding Snell. In the introduction Snell says that he checked the places and dates and so on from Jack's story and found that everything checks out the way Jack said (for example, he says that Kit Carson was at his ranch at the time he allegedly refused to give Jack a handout) - except for one thing that Jack got wrong. Jack claimed that Crazy Horse never wore a war bonnet, but Snell says he knows that Jack is wrong about that, because he, Snell, owns Crazy Horse's war bonnet and totally trusts the integrity of the dealer who sold it to him!.
It is said that Crazy Horse never wore a war bonnet, but I have read a description of Crazy Horse wearing a war bonnet once, perhaps a borrowed one.
I have an idea for a story about the Great Sioux War, also narrated decades later. It is common to think of the Little Bighorn as the greatest Indian Battle of the west, but since the Sioux & Cheyenne won at the little Bighorn but are not now independent nations, one might suppose that they were later defeated in the biggest battle in the west and my story, set on the frontier between the Wild West and history, will climax in that fictional Armageddon.
It is said that Major Chambers, in command of the mule-riding infantry with General Crook's army as it rode toward the Battle of the Rosebud, was at one moment so humiliated by their poor riding that he threw down his sword and stalked away in disgust. That gives me a plot idea.
The narrator will be unwilling present with white allies of the Sioux at the fierce Battle of the Rosebud on June 25, 1876. The Sioux will withdraw after six hours of heavy fighting, but then take up positions atop the two sides of the Rosebud canyon, hoping to ambush General Crook's army if he pursues them. The narrator, with Crazy Horse's command group, will watch as Crook's army approaches the mouth of the canyon.
Nobody knows if the alleged Sioux ambush was real. Crook's Crow and Shoshone allies warned him not to enter the canyon, claiming the Sioux were waiting to ambush them, and said that Crook's cavalrymen had wasted most of their ammunition. They said they had seen the cavalrymen put bunches of carbine cartridges on the ground for easy loading whenever they dismounted to shoot at the hostiles, and then carelessly not bother to pick up unused cartridges when they mounted to move to other firing positions. So it is said that Crook stopped the column to count cartridges and it was found that the average cavalryman had 5 carbine cartridges left out of the 100 he had been issued - having fired or left behind 95 percent of his ammo.
So the narrator will see Crazy Horse and those with him watch anxiously as Crook's men wait, and then be frustrated when Crook turns his army around and rides away. Crazy Horse will throw his war bonnet to the ground and stomp on it in frustration, and so will have to fight at the Little Bighorn on June 25 without one. Crazy Horse will have a new war bonnet by the time of the fictional great battle at the climax, and will destroy it in frustration when he is defeated. The narrator will say that Crazy Horse's people later claimed that he never wore a war bonnet, trying to cover up his undignified and childish behavior on those two occasions, but the narrator was there and saw it.
So I think that it would be a good idea to have your fictional actors in a fiction acting troupe in a fictional theater in Harlem putting on fictional productions sometimes mention real actors in real acting troupes in real theaters in Harlem putting on real productions at their correct dates, as friends, competitors, etc. And also to have your characters participate in or at least mention various real events of the the time, large and small, from international to local, as well as various fictional events