We are in a cube shaped room of 1,000 m³ (10 x 10 x 10), there are no doors or windows, virtually no exit.
How did we get here?
As the referee sees fit: falling through a trap door, using a teleport, the door disappears as it closes, the four walls rise up from the ground around the unfortunates as they step on a slab, or they simply wake up there after dreaming of the idiotic chaos at the center of the universe.
Three of the walls have something written in red letters
South wall: “Our Mother, who art in earth… etc.”
West wall: “The thoughtless chaos at the heart of the world”.
North wall: “Azathoth, the amorphous blight of nethermost confusion which blasphemes and bubbles at the center of all infinity, who made the gods and thereafter rested, sleeps eternally, lulled by the music of your heartbeat.”
The fourth wall is different
East wall: There is an eye-shaped stain of dirt and moisture on the wall. When your and its eyes meet, you can feel the look in that eye judging you, you can see your darkest or most shameful secrets, those things that you deny even to yourself, those things that if you contemplate for more than five minutes would lead you to suicide or insanity.
If someone pays attention, they hear a scuttling sound behind the wall.
It is not obvious to the naked eye, you have to throw something at it or hit it, but the wall is easy to knock down using a little brute force or a sledgehammer.
What’s behind the fourth wall?
A bulbous, shapeless, bubbling mass. It is composed of thousands of cockroaches constantly moving. Normal weapons are useless but fire will kill them quickly, revealing a hole behind the wall, and the hole leads to the exit.
Again, as the referee sees fit: it can be a staircase leading up, a teleport, or a simple hole that takes you out of the room.