Nadia: The Secret of Blue Water

From the introduction:

Welcome to a time of great progress, Jumper. You appear on a world much like your own at the cusp of the coming 20th century. The inventors and crafters of this world have come a little farther than home, however. A cursory glance will show flying machines years before they were due, for instance, and that is the simplest difference between the two. Digging a little deeper will reveal the machinations of a dangerous cult, the death of a kingdom, and the ruins of an ancient alien civilization. But perhaps you’ve simply come here simply to see the strange and wonderful sights this world has to offer? You are free to wander wherever the wind blows, after all.