There's also Five Parsecs from Home, which is a solo wargame / RPG. You only need a handful of minis, and it's miniature-agnostic so that you can use any mini you want.
Hey! You should look at Blackstone Fortress it's set in the 40k universe and is a 1-5 player coop game. You'll get all of the minis to play the game, no more no less, so there's not really room for growth but I believe it's in the same vein as Gloomhaven.
You could check out Kingdom Death: Monster. You could use many of your 40k minis as your survivors, and it would come with a ton more minis to build and paint. Alternately, you could try to find somebody selling the game for cheaper without minis, and only use 40k minis in the game.
There is this thing being developed for you to fight solo/co-op against a huge swarm of Tyranids, it might be of interest! https://www.goonhammer.com/fury-of-the-swarm-the-40k-co-op-open-beta-begins/
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