

It was first thought i had too, if something is more expensive than 40k miniatures, it’s Lego sets XD.
There is some Warhammer sets and minifigures available in Chinese stores like Alibaba/Aliexpress and while sets are not worth the price, some minifigs are seriously great, like the Custodes Shadowkeeper Allarus terminators





If you don’t mind it not being original Lego, Aliexpress/Alibaba have several sets of Rocinante including one with over 6000 pieces. No detailed inside though, it would have to be even bigger.