Would it be hard to make it yourself?
To make one of quality, yes. It would take perhaps hundreds of man hours. You'd need a very large map of the Hyborian Age, such as a high quality poster sized photocopy printed at Office Depot, etc. You'd need to divide the map into the same amount of territories as the standard game. One could use lead wargame or D&D/fantasy figues for the game pieces (up to six players), such as Knights or Roman legions (sorry, I couldn't resist)
for Hyborians, Mongols or Huns for Hyrkanians, Scots or Celts for Cimmerians, African tribesmen for Kushites, Indians for Picts, and Vikings for Nordheimer. You'd probably want to paint the game pieces one solid color to mimic the style of the game. It would take some work, but the end result could be spectacular. And while you're at it, how about a nice custom made Jetan Chess set? Anyone up to the challenge?