So I’m not sure what might make you not feel lonely or anxious. Things like how directly you control the characters with you could he factors I imagine, so I’m just going to list a bunch of things:
A shorter one, but Star Wars Republic Commando. You’re a commando unit and work as one.
Dragon’s Dogma, either Dark Arisen or the new sequel.
Mass Effect series.
I don’t know if Earth Defence Force would be like that or not, at the end of the day your NPC allies could be hit or miss (literally, depending on the weapons you use).
Not sure how you feel about party-based RPGs, but there are tons of them.
I’m wondering if RTS games with campaigns would feel right as well. StarCraft’s campaigns have a lot of people constantly talk to/around you.
The Lego games?
Stardew Valley?
Can’t really think of indie games at the moment.
Games I haven’t played so I don’t know if they apply: Persona? Space Marine games?
Not even just that. I can’t speak for Edinburgh, but in the area I live in in Glasgow we’ve had random fireworks go off during the day for weeks leading up to Guy Fawkes. One big explosion every now and then. One day, still bright out, I was walking home and almost hit the deck because one went off so close to me out of nowhere.
After Guy Fawkes it has been less frequent, but still happens, at very odd times. You can even check news and see that it’s been an issue for a while. E.g.: https://www.bbc.co.uk/news/articles/c0j87zneq4vo
It stresses me out a bit, and I spend most of my time in my own home, with decent soundproofing. And I’m not a sensitive endangered animal.