Check out Dover Publishing. They have really great historical coloring books and other activity books. They're pretty sophisticated too, so in my experience even kids in the older elementary/middle school grades who think that they're past coloring books really enjoy them.
It's not theme-specific, but if you haven't checked out the offerings of Carus Publishing I can't recommend them enough. They publish fiction and non-fiction magazine for kids from preschool through high school. They're really well done, and in my experience kids really enjoy receiving them. Since it's a monthly magazine, you can't really choose what you get when you subscribe, but you can buy
back issues. For example, here's one about
Pilgrims, one about the colony of
New Netherlands, one about the
Jamestown, one about
the French and Indian War, and so on. Calliope is their world history magazine, and you can see back issues
here.