Is Bradshaw the one that does good historical fiction?
Yes!

I think I have her book about Cleopatra sitting on a shelf somewhere.
"Cleopatra's Heir"? Not actually about Cleopatra, but it's one of the ones I've read more than once. Though my favourite ever is "The Beacon at Alexandria", about the girl who disguises herself as a eunuch so that she can study medicine in Alexandria...

it sort of boggle my mind that I haven't read any Heyer yet.
Why haven't you? Don't know where to start?