OK:
They immerse themself in a fantasy world whereas eveything is unreal,
Firstly, it should be 'themselves' and where', but in a fantasy world everything is unreal, so it seems unnecessary to me to use both. So, you could say:
They immerse themselves in a fantasy world
They immerse themself in a world where eveything is unreal,
Or something like that, which would be a bit clearer to me.
