Whether you take Sapir-Whorf hypothesis for granted or you think that its inverse is true, cultures and languages codevelop.
You wouldn't say "keep them at the bay" in a language used by a land-locked people. You won't call tomato "pomodoro" if gold in your area doesn't have impurites that make it red and not yellow.
You have to understand that language on a very basic level is a construct of a culture that used it. You can't separate them.
And then there are practical reasons. You won't get actors to learn Mongolic language to play Dothraki. Conlangs aim to combine "alien" with "familiar" which is a must in a movie, game or a book.
If you mean to reference the expression “keep someone at bay” (no “the”) with the meaning of holding them back, that comes from “bay” as in “the howling bark of hounds” rather than “bay” as in “a partially enclosed body of water attached to a larger area”. Completely separate etymology (from old French «bay» and «baie», respectively, ending up in words that happen to be spelled the same in English.)
So, a fine idiom for a landlocked people, not so good for a people without dogs.
Why would actors learn a language when they can just learn their lines? If you're already borrowing concepts from other languages why not the whole thing. I don't know if conlangs are better, but I don't think it would be unethical to use an existing ancient language for a movie or TV show.