Bloodborne is an absolute masterpiece, imo. It's in my top ten for sure. Glad you're enjoying it. When I checked Era recently, I noticed you'd posted an LTTP there, and I'm assuming you're still updating it? I'll have to have a read through when I find the time.
But yeah, Bloodborne does world design exceptionally well, and traveling from location to location feels simultaneously interconnected and claustrophobic, as you put it. Yharnam feels like a big city, but this is more accomplished through art direction and sights, versus pointlessly huge areas (though I know some folks really aren't fond of the Forbidden Woods). This is why I just didn't vibe with Elden Ring much, I'm tired of everything being a tedious open world. I thought FromSoft would make theirs better, and in fairness, they did, but the more linear dungeons were still the actual meat of the game.
You'll play The Old Hunters, right? It elevates the entire experience.