I think the problem with " one giant metropolis " ideas and an idea I had for a world made up of a series of interconnected concave worlds is that both have sort of already been done for D&D - in Planescape. They could be done, but they would not be entirely original (to D&D).
I do not know if D&D has ever had a sky islands setting though.
A dream world might be an interesting alternative too. What you might do is make a kind of fantastic version of .hack// , where you live in a "real world" that bears some resemblance to dark ages Earth, but whenever you go to sleep you enter a collective dreamworld where you can be something completely different, and even use magic. If you "die" in the dreamworld, you wake up as if from a nightmare, and are unable to dream again unless you are "raised from the dead" in the dream world. But also, there are two special effects in the dream world: it is possible, with powerful dream magic, to live on in the dream world even after you die in the real one. And, alternatively, there are unique monsters in the dream world that have the power to kill you in the real world; and you do not come back from that, ever, as magic does not work in the "real world". And, of course, there is also the possibility of your actions in the dream world having repercussions in the real one, though it is not possible to divine or force anyone to divulge the real world identity of dream people.