A bunch of different things come to mind for me when I think of this.
Like, for instance, Lumina, from Legend of Mana:
Something about the way the town is lit by lamplight and the general atmosphere just always felt super-cozy to me.
Then, there's Fortree City in Pokémon Ruby/Sapphire/Emerald:
Not sure what exactly makes that feel cozy to me, but it just is for whatever reason.
Another good one that's more recent is the inside of the Snow Kingdom in Super Mario Odyssey:
Something about the use of colors and lighting just gives it a very warm and inviting feeling despite the snow, and just looks wonderful.
And of course, lots of other snow-themed levels have a similar feeling. Like for instance Frosty Village from Diddy Kong Racing:
Something about those houses in the background just always seemed like they'd be super-duper-cozy, though you never get to look inside so no way of knowing for sure, but they definitely have that feel.
Similarly, there's also like Christmas Town and in particular Santa's House in Kingdom Hearts II:
They definitely have that same cozy feeling for me.
The same can also be said for the room where Yata is in in the Snowpeak Ruins in The Legend of Zelda: Twilight Princess:
Despite the room being in very clear disrepair, as the rest of the manor, it still gives off a very comfy and inviting feeling for sure.
And for something completely different to close this off, the level Horn Top Hop from Donkey Kong Country: Tropical Freeze also comes to mind:
All the warm autumn colors everywhere are super-cozy for sure.