Minecraft is honestly a pretty bad example - it's procedurally generated, so there's no "world" the game has stored beforehand, just the rules of how a world can look. Most games aren't like that though. Adventure games, shooters, RPGs, usually have hand-crafted worlds with very deliberately placed features.

And these are large. Many modern games are 10s or even >100GB in size, most of which are world files. But there are still clever tricks to keep the size smaller than it would be otherwise. Small patches of textures can be expanded to larger areas, terrain in the background can have lower resolution, and so on.

And finally, the storage density of modern electronics is just extremely high.