The idea has been put forward, but i believe a little while ago, in true GW fashion, the idea that the Warhammer world is in the 40k universe was thrown out. But indeed, it has been said that Sigmar may have been a lost primarch, but once again, it's unconfirmed by GW (in other words, they don't want to think about the repurcussions on the 40k universe). Do a search - this idea has been posted before, so you may be able to flesh out your theory with more people's views.
LoC
LoC