Well, the example
@pemerton gave above was about running a game of Torchbearer. From his enthusiasm for the game, it seems pretty certain that the game started with Torchbearer being what the GM wanted to do!
And at a zoomed in level, the opportunities to facilitate, respond, and oppose give the GM ample leverage to assert setting elements which then become parts of the shared fiction. It's obviously not exactly the same as making up everything beforehand, but I DO have fun doing it.
I think the urge to setting build and the ability to play in a Story Now fashion aren't as opposed as you might think. A few years ago, I ran a 5e game in an Eberron I heavily modified prior to play. And I did my best to play in as much a player-facing, Story Now method as possible.
Where that game differed from what you (presumably) would do is that a lot of the elements I added had a pretty loose touch. I had initially conceived of the king of Karrnath as being one of the main villains. But one of the players had a backstory of being a close adviser to the king, and another had a drive to get revenge on his older brother who has betrayed him and left him to die. So in play, it was revealed that the player's brother had become Hand of the King, and the campaign shifted to opposing his actions and freeing the king from his clutches.