Oh they definitely listened to it, I think blackmore takes bach's fugue in Dm in one song and just plays it for his solo. I still think that the term "neoclassical" is very misleading, aside from the fact that it refers to a real style of 20th century music that occurred around the 1920s, and was popularized by people like Stravinksy, not Yngwie. All I'm saying is that it still takes more from led zeppelin/AC/DC than from J.S. Bach.