Hi, I want to produce a rock progressive concept album non-stop like Metropolis part.2 of Dream Theater or The Wall of Pink Floyd if you prefer. My sound is something like Nightwish.

I want to know if it's legal to build the lyrics in function of BG story line.

Exemple of setlist:

1: Ouverture: Leaving Baldur's Gate
2: Capture by the Master
3: Irenicus the Mad
4: Loosing Imoen
5: Freeing and loving Viconia
...
...
etc
11: The final battle


Will I have to pay someone for the names and some part of the real story?

The content of Baldur's Gate, excepting those elements which are licensed from TSR/Wizards/Hasbro, is Bioware's copyright. You'd likely need an attorney to tell you whether a musical recording that describes the plot of the game with the character names would run afoul of Bioware's copyright.