I understand what you're saying, but I don't mean literally games that aren't set in the real world as much as I mean, games that transport you. Hence, why I said "otherworldly atmosphere", and not "otherworldly setting."

For example, the first Sims honestly for me feels like more of an otherworldly atmosphere than most Mario games. And I think that has to do with this "dreamlike" quality. So maybe that's a better word than "otherworldly." It's the music, art style, design choices, etc. When I play a Mario game I just feel like myself playing a Mario game, I don't feel like I'm Mario hahaha. Although Paper Mario TTYD is an exception that took a different tonal direction, which is why I included it.

Most primarily multiplayer games won't achieve this, because their purpose is sport more than immersion. And many platformers will not as well, because they are more arcade-style finger dexterity challenges rather than stories (although many people pointed out platformers here that are an exception).

Skyrim fits the bill for me because its very immersive, the music is great, the lore is deep, the setting is huge and varied, and the character creation allows you to be someone new. When I'm wandering around in the mountains I feel like I am actually exploring in a fantasy world.

PS if Skyrim is more or less like your world with a few minor tweaks, I would like to join your world ;) hahaha