Honestly, if you look hard enough, games have gone just about every setting possible.
India: Does Prince of Persia games count? How about magic carpet riding? I could have sworn I remember even some games that were RPG like where you had to choose where you were in the hierarchy of the Hindu religion...
North American Native: Hmm, Prey? Age of Empires? Empire Earth? Gun?
Sky: Crimson Skies? I think there were some other ones too, the names escape me at the moment.
What else was suggested... Oh, Canada, I think there was a truck driving game I remember where I would drive back and forth across Canada, getting stuff in Vancouver, heading to Toronto, picking up a hitchhiker, getting robbed by the hitchhiker while I slept at the side of the road...
Hmm, what else was there... Crafting system, could sworn I remember something like that for a game that was about caveman, having to ship out a new spear head ever so carefully... But I suppose as long as you are having to go through the motions with a Wii remote, that would be different, though your settings still aren't places games haven't gone before.
Voodoo: Does Monkey Island count? And other adventure games too, I think they seemed to have a thing for voodoo. There were some shooters that involved voodoo too, I remember some intro involving Jack the Ripper or some such and the main character was like this guy just returned from the dead.
Antarctica: Pretty sure MiB went there and does Thing count? Or was that Arctic?
Urban Zombie: Wasn't there like Stub's the Zombie or something? Do I really have to go into to all the other zombie games set in an urban enviro as well?
I'm sorry I'm not being specific enough, its just after decades of games, the settings and names do kind of get all jumbled together in my ancient 27 year old brain.