Pretty much what everyone here has said.
In regards of the classes:
Priest: Definitely could have been a member of the Church of Light in Gilneas, and absolutely could use some of those. My own character however abandoned the worship of the light and took to Elune after feeling the Light abandoned Gilneas in itās hour of need. Would be intresting to see someone who still holds to the faith despite everything.
Warlock: Absolutely Warlock covens do exist very much everywhere in human society, or any other dark cults. As Gilneas is inspired by victorian england, I could recomend looking up any dark cults in historical englands just for inspiration and flavour.
Mage: Same as above. The perhaps most famous archmage from Gilneas is Arugal, who summoned the worgen from their slumber. As Gilneas is a very aristocratic society (Theyāre pretty much the human version of Quelāthalas, but with more gloom), he could be a schoolar of magic with a uptight ego, or even continue Arugal/Ur research into the Worgen curse.
The main issue as many has mentioned is how your character is going to deal with the curse/gift of the worgen and it can hold a great deal of character development.
For my own character, he saw it once as a curse after an incident that caused him to hide his worgen form from the population, but eventually, he started to become more unstable and erratic after being imbalanced for staying hidden for so long. Eventually however, after a frequent long time in order to find balance, heās started to see it as a gift, but one that should be used lightly least it controls you.
What I love with the worgen is the fact the player can decide pretty much on how one deals with the curse, how they use it and view it, because itās both their greatest and worst asset at the same time. The worgen form is very much supernatural and grants the bearer things such as superstrength, speed and senses. If the game played to the lore, you are one of the deadliest foes on the battlefield.
On the other hand, I try to balance it out as well that he still has a genuine, justified hatred towards Forsaken and all undead, even if it goes against him being logical.
Good luck and I hope you create a wonderful character.