Recently, a freelance artist, Ioan Dumitrescu, has released some concept art (which you can see below) on his profile on ArtStation (via NerdLeaks), with the headline "Undisclosed Project for Sony".
The concept art reveals a western setting, and - as stated on the site where the pictures were published - they are dated back to mid-2015.
At the moment we don't know for sure if there's an unannounced western in the works, or whether this is instead a title that has been cancelled. One thing's for certain, Dumitrescu has already worked with Sony on a mini-game for PlayStation VR Worlds.