I think we kind of already do! The world we live in today with smartphones and the internet would have seemed fictional 30 years ago, let alone 100 years ago. And I think with the development of better AR and VR, we can take “living in a fictional world” to the extreme, and literally live in a world that we imagine.
I like Valerie’s answer. We could live in a fictional world by using VR, or as we come to better understand how the brain works, we could simply stimulate the brain in a certain way to make us imagine anything. Would you want to live in a ‘fictional world’ forever? (Would you want to feel as if you were doing anything you want, even though your body in the ‘real world’ was sitting in a chair?)