The players are litteraly making it from nothing. You can't have a more involved interaction than that. The story having no physical existence is only making that point stronger : the definition of events is the experience.
There is a huge additional distanciation in that example unless you remove the audience from the equation. And for some reason I doubt people make podcast just to listen to themselves talk.To put it another way: Does the Welcome to Nightvale podcast "tell a story"? Or is it merely a fictional radio show, factually describing events as they happen, in a way that is somehow not a story?