I find this interesting as both look like the reaper and have a key/multiple keys.
Some people say that these are just like Kat having a dagger and Talon having a dagger, or Garen having a pretty over sized sword and so Tryndamere.
But I think they all protect something. Fiddle protects a "chamber" mentioned in the lore. And Thresh, although being just a crazy soul that kills people, he is the Chain "Warden". Warden is kind of a "Guardian" if i'm right. So I think they are like... of a same specie or something. Both have greenish eyes and they kind of play with people's minds. Thresh as mentioned in the lore and Fiddlesticks can "Fear" you and Drain your life.

Any thoughts?

Thresh is called "warden" because that's what he was in life. A warden of a prison.

Fiddle might be related to the shadow isles, maybe? Same sort of ghosty stuff.

With Thresh, one must wonder if Nocturne was Thresh's personal executioner, when Thresh grows tired of his tortured victims does he let Nocturne have all the fun. Nocturne was found at the treeline afterall.

Nocturne was (and is) a manifestation of nightmares, as stated above. The only champion to actually "come" from the Twisted Treeline is Maokai, as far as I know. Nocturne was discovered due to summoners having horrible nightmares and even going insane.

I'm not quite sure where Fiddlesticks is from.

I think he is from a separate plane far beyond the Void and wherever the hell Nocturne came from.

Fiddlesticks was summoned from a plane nobody knows about, killed his summoner and is kept between the matches within the room where he was summoned first because, y'know, he slaughters everybody who enters.

As for Nightmare, he was living in the Summoners dreams (or I should say, their nightmares), à la Freddy Krueger, driving them mad from lack of sleep and some "never woke up", which I guess imply they were killed by him in their sleep. He went out of the "dreamscape" when a Summoner lost consciousness near a Nexus in the Treeline.

The rumors and campfire stories about Thresh speaks of a sadistic jailer who broke the body and mind of his prisonners with his chains, until he was hanged with his own chains during a riot/prisoner escape. He then came back as the wraith we know, as in every good ghost story. He now drag the soul of the deads back to the Shadow Isles.

So, not really related, as you can see; those infos are all in their respective official Lore, it takes only as few minute to verify. They're still all fairly interesting without it though.