Well, there are a lot of horror adventure games that take place within a single house/haunted donut shop/whatever. Yahtzee's
Five Days a Stranger comes to mind, and it has the added bonus of costing you no moneys to play.
But if I was going to recommend some adventure games that have the kind of "focused" feeling you're asking for, I would have to go with Jonathan Boakes' adventure games, particularly Barrow Hill and the original
Dark Fall. Though they're not quite confined to one location (Barrow Hill takes place in and around a deserted gas station in the Cornish contryside, and Dark Fall is set entirely within an abandoned train station), the attention to detail and local history really brings the locations to life, making them feel like characters in their own right. Try them - you may be pleasantly surprised.
The first half of
Dark Fall: Lights Out is also very good (set in an abandoned lighthouse), but unfortunately the game loses its focus in the second half. IMO it's worth playing just for the first half, but if you're put off by games with silly endings, you might want to avoid it.