Question about the starting sequence

They're members of the Brotherhood of the Silent Sorrow, who were all killed except for you. My theory is they tried and failed to make the same quest you did. As for why they aren't wearing clothes, I think that was just an artistic decision to give it a classical painting feel.

In real life, the helmets are based on the traditional costumes worn for solemn procession by Catholic penitentes (literally, "penitent ones") during Holy Week in Sevilla, where the developers are from. They originated from outfits people were forced to wear when being punished for their sins in the Inquisition.

I read that there's a promotional comic for the game that KS backers got, and apparently it says that the clothing of the slain turned to dust, but the Miracle preserved their flesh so they would lie there forever. I haven't read the comic myself though so I can't confirm.