The Midnight #ttrpg setting for #dnd had an interesting premise: "What if Sauron had won the War of the Ring"? And I actually played a short campaign in it.

But ultimately, I found it too depressing - I prefer settings where there is actual hope. Heck, even Call of Cthulhu offered chances of victory, however temporary they might be - and an opportunity to escape the horrors, however brief.