Parasite Eve is based a day or two before Christmas in New York.

Spiderman Miles Morales is entirely at Christmas I think.

Stardew Valley has a Christmas day and a winter month.

Killing Floor 2 has I think a month-long Christmas event with special maps and heavy metal renditions of classic Christmas songs as the soundtrack and monsters dressed as elves and gingerbread men and more (this one is my favorite because they go all in on the Christmas horror vibes).

I don’t recall if they ever add anything to the world but The Long Dark does take place in a heavy snowed-in area that feels rather Christmas-y. They may have a Christmas challenge (I’ll research and come back to make sure).

Gears of war always had gearsmus. They had numerous skins for characters and weapons for the festive season. Granted that franchise usually did things for most holidays.

Escape from tarkov always has Xmas lights and a tree you can set up in your hideout. Plus scavs wearing Santa hats and trees set up on most if not all maps.

GTAOnline

If you’re open to past gens, Grinch had a PS1 game where you run around Whoville smashing presents and making Grinch inventions.

Don’t starve together has Christmas clothing, Christmas versions of structures/items, and Christmas monsters (bosses?)

Presumably the non multiplayer version does as well, but I’ve only ever played Together so I can’t say for sure. Of not, you could always just play by yourself if you’re not looking for a co-op/pug experience

Viscera Cleanup Detail has a Santa’s Workshop themed level.