The first winter is an adaptation (and combination) of "stealing of the Sun", and "Sampo" myth. The idea that a long long time ago there was an age of prosperity, when earthly life was somehow free of trouble. And then something happened (the sun went down and didn't rise up the next morning), things got difficult. But the humanity coped, and eventually the Sun returned - but somehow it was no more the same, things were different, something had changed permanently.
I remember that about the same time when UnReal World turned from a more generic "sword and magic" phantasy to Finno-Ugric mythology, Sami was also considering changing the title of the game. But a considerable number of players resisted, saying that they had grown attached to their mental images of a phantasy world which is somehow "unreal".
So, we took these ingredients and cooked a fictional mythology which both keeps the original name of the game, explains it, and still draws from Finno-Ugric mythology - not being a direct reference, but an artistic adaptation of the age old themes.
EDIT: Hmm, so I think that the theme of "unreality" as such isn't a theme in Finno-Ugric mythology. But there is this idea of world being made of various layers, most of the layers being unseen to the normal waking consciousness, but those unseen layers oftentimes being the most influential. So, the "unreality" is an adaptation from that idea, thinking that once humans had a direct contact and communication with all the unseen layers, but then they lost it - humanity survived, but the direct contact with the unseen world became more like a rarity, something for trained professionals, and rare occasional supernatural encounters experienced by common folks, and a loose collection to beliefs and rituals to manage these relationships.