A non-descript neo victorian era city where our story takes place has now become a major city due to the worldwide ravages of the "Great War" Not many knows what goes on inside the hellish battlefields of the Great War, but they do know what comes out it.
Characters that encounter Nephilim face a 100% chance of existing in Vedo as either a product of Dark Science, a disciple of the Occult, a war ravaged Foreigner, or Veteran, or a sea sworn Pirate or Naval Officer of the Royal Air fleet, or a humble citizen in this land of new beginnings. As an alternate to main canon void, Vido is a chaotic amalgam of nations, races, and origins with its only main difference being its dated social attitudes.  As a city, the shadowy streets worship coin and information while the moon gleamed towers develop world changing technologies and inhuman weapons of war while her various institutions vie for control of the city.

Is it mandatory to fight Nephilim here ? No. Everyone makes their alternate void universe all the time. This is but one of many translations of it. Nephilim may also appear in Void city as is. It is an elderitch creature after all. 

I keep thinking Filia and Bloodborne (both I'm fine with myself) does that make me stupid and wrong

Nephilim is considered "varelse" a life form with the bare minimum understanding of human values but strives to understand them even if it finds them unacceptable.
 There is a roughly 15% chance Nephilim will engage in sexual conduct with your fighter. Probably because it's capable of transposing between genders and body shapes, and probably because its shapeshifting head doubles as a supernatural appendage, allowing it to change appearance and physical properties. But it chooses to look like it's original host who has effectively resumed living out its teenage years as an enlightened cosmic horror.

 Nephilim could be considered as having more intellect than the cosmos but madly attempts to be normal by human standards as it finds the creatures to be a fascinating contradiction of  chemicals. Nephilim also does its work free but does so in exchange for sating it's much needed experimental curiosities.

The surgical tool Neph uses are meant for combating other elderitch abominations should operations go awry or hostile ascendants seek out to devour it. In human scale, it's capable of bisecting a vending a speeding truck in one swing.   

Otherwise it's work as a backalley Wyrd Surgeon has garnered it infamy for producing medical miracles not possible on this planet. Currently Nephilim is working diligently to integrate into the meta-science community, even going so far as declaring itself as a Class X Cosmic Horror so that there is no confusion when it decides to devour a city. However, since it is void and violence is generally accepted, Nephilim gets plenty of practice and money in both medical and combat disciplines.

Other Notes
*Nephilim doesn't sleep.
*Nephilim is both a kid and a squid.
*Nephilim is an active member of the scientific community but its peers are often overwhelmed by maddening knowledge and doesn't survive the week.
*Using its Elderitch form, Nephilim consumes a lot of calories, and so only seeks to resort to it when it knows that its hunger can be sated.
*Hunger transcends physical matter, it can devour dreams, emotions, and ghosts.
*Current legalities bar Nephilim from devouring humans and so it resorts to a diet of seamonsters.
 Vido Notes: Nephilim currently resides in Vido an alternate part of the Void Multiverse. And so it's battles will integrate the opponnent accordingly.
 

Is no race swaps only for if you want a Tactics Advance character? Because to be fair, all the regular tactics classes are human. There is a class or two Angie could fit into in the GBA game, I just wanted to check before I started.

(although technically Angie's race has no equivalent in the FF Tactics universe)