Three PC games to explore by setting
Use setting and narrative focus to begin a shortlist, then check each Steam listing.

Mafia: Definitive Edition, Red Dead Redemption 2 and Grand Theft Auto V Enhanced each have a PC Steam listing. Their supplied settings offer a useful first comparison, although setting alone cannot establish which will best suit your preferences.
Mafia: Definitive Edition is a narrative crime game set in 1930s Lost Heaven, making its stated narrative focus a clear reason to investigate it. Red Dead Redemption 2 offers a Western setting. Grand Theft Auto V Enhanced is set in Los Santos and Blaine County, providing another location to consider when narrowing the list.
Before purchasing, check the individual Steam listing for system requirements and controller support. Use those details alongside your preferred setting: a shortlist becomes more useful when it reflects both your interests and the requirements of your PC setup.