These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Shatuo (沙陀) is both the name of the film's villain and the name of a Turkish clan that ruled China briefly during the 10th century. Maybe the bad guy is supposed to be Turkish.
Played with in the second movie. The made-up Dondo nomads originate from the seas around Japan, placing them close to the Okinawa region.
Big Lipped Alligator Moment: The film seems a fairly normal historical cop-drama until the magic talking deer appears. It's later revealed that the voice came from ventriloquism, which only makes slightly more sense. The upside of this is that the viewer is kept guessing as to whether the Phantom Flame effect is genuinely supernatural or not, given all the other clearly unrealistic stuff that happens.
The Dondo kidnappers in the second movie. They have a Con Lang, which makes it even more baffling that they'd discuss their plans in Mandarin. Even without Dee's lip reading skill, people can hear them anyways.