I love Elder Scrolls and Fallout, but for me it’s a comparison that doesn’t work all that well because they are different types of games. They are action RPGs with sandbox elements, while Conan is primarily a sandbox game with some action rpg elements.
In my eyes Conan is much closer to games like Mount and Blade and No Mans Sky. They present you with some general guidance and then you just do whatever you want. There is no real set end goal except the goals you decide for yourself.