My parents inadvertently took a "misery tourism" bus trip about 20 years ago. They were on a tour of Michigan and were offered a day bus tour of Old Detroit with a retired architect who would lecture about all the historic buildings and development of the city. Our family is from the Bronx so Mom & Dad expected some urban decay, but sat in stunned silence when they got their tour of Mogadishu post-Black Hawk Down while the tour guide nonchalantly discussed mass murders, mass rapes, and the litany of taxpayer funded boondoogles of the past half century.
All the Chinese tourists on the bus had a GRAND time. Mom said the couple next too them took so many pictures, the wife was reloading one camera while the husband fired away with the other.
As for the RPG term, probably most famous was when White Wolf did a supplement where you could play ghosts from the Holocaust. Recently, the Cucks of Chaosium put out a supplement where you investigate Cthulhu while prancing around in the degeneracy of the Weimar Republic.
And while these are real world elements being put into a fantasy, I do question how different that is from the drugged out ghettos of cyberpunk, or that cool OSR setting
Yoon Suin which describes itself as "shrouded in ancient mysteries, opium smoke, great luxury and opulent cruelty."
https://www.drivethrurpg.com/product/144820/YoonSuinTo me, playing adventurers in a dark fantasy semi-Indonesia sounds like fun, but I can easily see that (and many other settings) being decried as misery tourism.
But we're in clown world now. Words don't have solid meanings anymore.