THE ANSWER MAY SHOCK YOU!
In the Last Future, all the gods are dead. Many of them died in great cosmic wars, some were turned to stone by the Antimatter Basilisk, and others simply fell into obscurity and descended from godhood. The very last to die were subsumed by Ultima Zero.
There are a couple reasons why I wanted the setting to be this way, but the "point" is because I want my friends to feel like this world is different from the various fantasy genre (high, weird, grimdark, etc.) settings we've played before. They assume that a fantasy world will have fantasy gods, so it should tell them something when there aren't any.
Most of the decisions that went into making the Last Future were things that I sort of just settled on and came up with justifications for later on. I feel like this is probably the case for 90% of every game setting ever.
I feel like D&D and it's counterparts can generate a lot of different and interesting stories, but I don't think they are well equipped to convey certain standard narrative elements—specifically, themes. You can have a plot, sure, and it's really easy to convey a tone, but to try and make a campaign "mean" a specific thing? Good luck. It can be tempting to do this, because I feel like deep down anyone seriously invested in RPGs understands, or at least wishes, that they're capable of more than just the sum of their parts. But the way old school D&D is played makes it uniquely bad at establishing a cohesive theme.
Without having all your players sign on to your vision, actually having a theme isn't feasible. Themes are generally conveyed in stories by the outcomes and repercussions of plot events. In games, where "plot events" are determined by dice and it is up to the players to decide how to deal with them, you'll undoubtably need to resort to the loathed practice of railroading to get your point across. Is this what storygames are about?
It's been said many times before that D&D campaigns are closer to picaresques than standard adventure stories. While I agree with this, I feel it can be misleading. D&D campaigns are similar to picaresques, but they aren't picaresques through and through. A campaign is a cohesive thread of events that develops as the players interact with the game world. A story emerges, but not necessarily a capital-N Narrative like the kind you read in books.
I know this isn't groundbreaking stuff—anyone who has DMed a couple sessions could probably understands this already. But here's a SHOCKING REVERSAL that will lead to a THOUGHT-PROVOKING CONCLUSION:
Maybe you can't make a game emulate the trappings of a narrative, but perhaps through tuning the campaign elements—the settlements, the NPCs, the encounters, the faction drama, etc.—toward something resembling a theme may arise.
One probably wouldn't want to tune their campaign too explicitly, because that would get really tired and same-y after a while. Instead, they should just use the "theme" as an idea to orient the worldbuilding.
One thing I want to capture in the Last Future campaign is the same sense of absurdist nihilism present in Vance's Dying Earth series. Of all the qualities those stories have to be enamored with, I was particularly taken with the ever-present sense of weird pseudo-nihilism that suffuses just about every page of every book. The sun is about to go out and everyone knows it. But that doesn't stop people from caring about things, it just meant that their cares are absurd and often frivolous. There's that guy Cugel met on the beach who was looking for the necklace his ancestor had lost ages ago—why the hell was he doing that? The sun could go out at any minute! And yet he pressed on. And you're reading it, and you're wondering if Jack Vance was a fan of Kafka, because he must have been. That's a great scene, and you can lift it perfectly into your own campaign.
I want a setting to convey that feeling. I want the players to come across figures that are weird and narcissistic both as a result of and in light of the fact that the universe will soon be swallowed by a massive black hole and there's nothing anyone can really do about it. I have no way of controlling how the players react to this, but I can control what they react to. In coming up with the various structures of the campaign world, I have attempted to use this idea as a guiding light. I would love to be able to speak with more authority on this subject, but I'm only now putting it in practice. I will nevertheless report back with further meditations as the campaign progresses.