The geography of the warhammer world is suspiciously similar to the real one. So yeah, Cathay is like China, and is located roughly where China would be, same with Ind/India, Nippon/Japan, etc. As far as fluff, its not much, but it's scattered around the army books, such as how Skaven clan Eshin learned how to be ninjas in Nippon. I think there are brief sections buried in the big rule book also. Your best bet is probably the Ogre army book; they originated right by Cathay, much farther east than any of the other armies, so alot of their magic weapons and stuff has references to those eastern human kingdoms.
For the slightly better known ones like Araby, Estalia, and Tilea, the big book and Empire book are probably most of what you'll find. Maybe some stuff about Araby in the Tomb Kings book, and if you can find the rules for Dogs of War and Regiments of Renown that'll cover Estalia, Tilea, and Border Princes a little bit.
And of course they may be covered in some Black Library books, but I've mostly read their 40k stuff, so I couldn't point you to any specifically.