There are many ways they could go.
There are many cultures out there, even with European.
Russian or Eastern European cultures are some that have not been touched upon much in the West.
Siberia, those from the Northern Americas (Eskimos, etc), and other cultures from the Far North of the Asian and NA continents.
The Polynesian cultures.
Even the Middle East has a wide range of cultures...not every culture is like an Arabian type culture, there are other ME cultures out there.
There are a LOT of different Native American cultures from North and South America and there are a TON of cultures from the African Continent that have never been explored in D&D.
Of course there are also the South Asia nations (as some have mentioned Indian, there is also Nepal, and various other cultures).
Let's not forget the cultures of Australia Aborigines or New Zealand and various others out there as well.
There is a vast array of possibilities that they could explore.
Even if they go with something such as East Asia, China, Japan, or the Arabian cultures...that's still new for 5e and it's been a pretty good while since any D&D has visited most of those.