Henry V is not a historical accounting of the life of Henry V. That’s like saying Saving Private Ryan is non-fiction because the invasion of Normandy really did happen.
Shakespeare included historical elements, but it wasn’t a scholarly look at the history. It was a rousing good story about some of England’s great victories over France.
By that standard, OK. I guess I was looking for “fiction” to include people who never really existed, events that never happened, but could have.