This, for me, comes under the heading of a theory which cannot be tested, and so is not actually worth anything other than passing the time of day.
It’s like me saying “Is the whole universe contained within the thoughts of a giant turtle in an alternate galaxy?”. There is no way of testing the theory, or gathering evidence to prove it (at least, no way YET) – and so asking the question itself serves no purpose. Another example is “Leprachauns live at the end of a rainbow, but they are invisible and cannot be photographed or detected by any known means” – we cannot falsify or test that theory out, so it’s not a theory at all. It’s what is known as a ‘logical fallacy’.
I don’t that that we do live in that sort of world, because that is the simplest option that is consistent with what we know about the universe. However, it is possible that we live in a virtual world, and this is a question that has been bugging philosophers for a long time.