You could go for a "escape from the nevernever" story. In the nevernever, you only really need conceptual islands, as in each part is separate from the others. In the nevernever, you can practically invent your own laws of what passes for physics there.
You could even go not only a "chain of islands" scenario, but a labyrinth of islands, as in every island has multiple teleport points that lead to different islands in the system. Even more complex, if there are one-way-teleports, so you would get from A to B, but would have to go over C and D to get back to A again.
As for the islands, as I said before, you don't have to stick to literal islands, because, well, the nevernever is a freaky place.
Various "escape the ..." games can be very good inspiration for this scenario.
Anyhow, a random list:
- Islands based on Water, Fire, Wind, Earth.
- Water could be a large bubble filled with breathable water. When the players first enter this "island", they need to do a discipline roll to try and hold their breath, and every exchange, the difficulty is increased. If one of the players does not succeed on his roll, he inhales the water and finds out, that he can breath it. The first few moments however are going to be really fun, watching the players panic as they face their believe they are going to drown and try to look for an exit. Talking however should not be possible here, and coming out of this realm and breathing air again could be quite painfull.
- Air would, of course, be an area of air without gravity. The players can float around here, but moving around is going to be really tough. Think about some Space movies (or advertisements) where people navigate with the pressure inside a bottle of beer, for example. Or there are some birds or other flying creatures, that a character with survival could try to tame and use.
- Fire An erupting volcano island comes to mind. This could be a labyrinth in a labyrinth, because it is not going to be easy to find a way around without having to cross some lava. Oh, and if someone wants to swim around: that water is boiling.
- Earth A System of tunnels, home to the molepeople. They might be friendly, they might be hostile, that is up to you.
- An island made of a dead dragon, the nevernever version of vultures circling over it or eating it's flesh (and maybe it's magic?)
- A large cave, that is covered in crystals. Some of those might even be alive, others just distort light in a way that makes you pretty dizzy if you stay too long.
- A normal island with a temple on it. This island exists in 3 states and is therefore accessible via 3 different ways.
- Past: The temple is in use by some kind of pixie tribe. They might not react too kindly to intruders.
- Present: The temple is empty and lies in ruins.
- Future: The temple is in use again, still mostly ruins, but some parts are rebuild and another kind of fae is there now.
This is just an example, of course. The basic idea is, to have one island exist in different times in this labyrinth. Changing things in the past is going to change the present and future state of this island, of course. One common puzzle would be to have something, that can only be destroyed by time, so you would go to the past of the island, bury it, go to the future and retrieve it, in order to open it (could contain a key to another island, or even the way home).
- A desert. Not a desert island, just a desert with no end in any direction, no matter how far you walk. In the far distance, there are oasii (oasises? I don't know, more than one oasis in any case) which contain the next teleport point (and more importantly: food and water). If you walk towards any of them, you don't get any closer, but you do get further away from anyone else, if you walk alone. The geography gets a bit tricky and is bound to result in a major headache, but that's magic for you. To get closer to any oasis, you
- have to either move in a specific way (for example walk backwards, in that case you are there in a few steps)
- or you can only get to the oasis in which direction the wind blows (a great way to push your players to one teleporter, if you want them to get to one specific place at that moment [and they might find something later on to change the wind in that place. I recommend a small stone altar where a statue can be placed that changes the direction of the wind to the direction it is facing.])
- Or they can only get to an oasis, if they really need to, so once they are out of water and food, or they leave their provisions behind (if they return to this place, the things left behind are vanished).
- And of course a whole lot of regular islands with all kinds of plants, animals, monsters and terrain. They can be mixed pretty much how you like it, so an island made of stone with orchids growing out of the stone would be no problem, the more unusual, the better. And how about those orchids are carnivore?
Hope that gets you started a bit