My guess behind the more demonic western skins
http://suptg.thisisnotatrueending.com/archive/16747874/images/1319683015441.jpg
From the looks of it, they mixed up Jonah Hex and Ghost Rider. If you've ever seen the Nicholas Cage movie, you'll remember that Ghost rider was once a cowboy. Jonah Hex was probably the inspiration for the half face being demonic on Lucian and ghost rider for why they are based around fire and demonic energy.They probably chose Thresh because he has chains like Ghost Rider did.
As for Urgot getting a cowboy skin, if you've ever seen wild wild west with Will Smith, the evil guys has a spider chain.
https://nypdecider.files.wordpress.com/2018/03/wild-wild-west-spider.jpg?quality=90&strip=all&strip=all https://vignette.wikia.nocookie.net/villains/images/a/a5/Dr._Loveless%27_Extra_Limbs.jpg/revision/latest?cb=20170619123244
but these are only my guesses.