Far-flung alien planets, ruins of unknowable ancient civilizations, dream worlds, and any other setting which defies comprehension. Expect difficulty understanding the inner workings of these worlds, if it's even possible in the first place.
Games must at least make some reference to their setting, and not just use it as a backdrop for gameplay.
If a game is part of a series I tried to picked the game that best exemplified its strange setting.

Notable sections of games with otherwise comprehensible settings:
Bloodborne: Nightmare Frontier/Nightmare of Mensis
Dark Souls: Lost Izalith/Ash Lake
Earthbound: The Cave of the Past
Half-Life: Xen
Hollow Knight: The Abyss
Majora's Mask: The Moon
Silent Hill franchise: Otherworld (And any other horror game with a similiar concept I suppose)

Suggestions very much welcome