The first fictional universe?

[endoperez]

Maybe The Well at the World's End from 1896 by William Morris. but it must have been 30 years since I read it, and I could be mistaken. Medievalish setting, but no connection to real places as far as I remember. Other than that, I agree about Dunsany's Pegana stories.

You beat me to it! TVTropes' "Constructed World" trope mentions William Morris as the "creator of the modern 'invented world' fantasy", and it inspired both Tolkien and C.S. Lewis. The Wood Beyond the World is 1894, so it precedes Well by good two years.