Where did the Western names in Code Geass come from? I recognize Lancelot and Mordred as knights from Arthur's legends. There is also a cat named Arthur.

What about other names like Schneizel, Cornelia and title characters Lelouch and Nunally Lamperouge? Are there other works they have drawn references from?
This is only a partial answer as I don't actually think the names of characters came from anything else, just chosen names.

However, in the case of Britannian Terminology a lot of it comes from legends.

Arthurian legends


The Elite group Suzaku joins, the Knights of the Round, is based on the Knights of the Round Table. I'm quite sure each of their Knightmares is named after the member Knights.
Lloyd Asplund's Irregular Special Research Division, Camelot, is named after the Castle/Kingdom Arthur would rule.
The Britannian Capital Pendragon is the family name of the monarchy that rules Camelot. ie Uther Pendragon and Arthur Pendragon.


Norse mythology


The Ragnarok System is named after the foretold end/resetting of the world, Ragnarok.
Luciano Bradley's Valkyrie Squadron are named after the Valkyries, who, just like the squadron, are all women.


Greek


The Sky Fortress Damocles is possibly named after Damocles in the Greek Anecdote the Sword of Damocles. Much like the sword, the fortress would be hanging over the planet as an imminent and ever-present peril with its payload of F.L.E.I.J.A. Warheads, had it reached orbit. (Funny enough, the Fortress and the F.L.E.I.J.A. firing switch sort of resemble swords)


Other


On the Wikia under Trivia for the Sword of Akasha it mentions the Nasuverse uses of Akasha. On Wikipedia this matches to the Akashic records; however, this is a theosophy meaning and there are other meanings for Akasha.




As a note, under the trivia of Kyoshiro Tohdoh's first Knightmare in The Black Knights, Zangetsu, it says


  Zangetsu is also the name of main character Ichigo Kurosaki's Zanpakutō in the hit anime series Bleach. Ichigo Kurosaki's English voice actor is Johnny Young Bosch, the same English voice actor as Lelouch Lamperouge. Also, Tohdoh's Zangetsu's color scheme is black and red, the same as Ichigo Kurosaki's.


It should be noted that Bleach first airing predates the start of Code Geass, so it is possible the choice to cast Johnny Young Bosch as Lelouch in the English dub stemmed from his role as Ichigo, wielder of Zangetsu.