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Um why is the title in the video advertisement different then the game itself? I'm confused is this KULT heretic kingdoms or HERETIC KINGDOMS the Inquisition
It is both... it was renamed Heretic Kingdoms the Inquisition for North America release, but called KULT in Europe.
It is technically Kult: Heretic Kingdoms. As the above poster mentioned, for some reason the US had problems using Kult in the name and made them rename it.

It is based in the Kult Universe - which if you're familiar with it, you're aware that according to Kult game rules, God and the Devil abandoned Earth and angels and demons run rampant. It's loosely tied in though, as the Kult game itself tends to take place in the modern era.