The wiki for "Fantastic Art" specifically references the 1930's as the start of a collective inspired by the surrealists, and lists names (though many are dissimilar to what we might think of for "fantasy art' today.) That, as well as looking into illustrators working for pulps and comics (i.e. early Doc Savage, Tarzan, The Shadow etc) will probably be your best lead, but it's probably gonna take a bit of research to find the artists and their backlogs.
Depending on how "fantasy" you deem Santa Claus, Haddon Sundblom is one of the few that I'm aware of from that era that has been very widely documented with lots of great quality pictures online. 1930's also covers the later part of NC Wyeth's lifetime, as well as the beginning of his son Andrew Wyeth's work (though Andrew is typically less fantasy oriented.)
The chanses of finding a neat list seem kind of slim. Internet is not the best arena for finding more obscure illustrators. This might seem "out there" but have you tried a library? In any case look up some groups that are enthustiastic about vintage illustration and ask there. Here is a link to one. [link]