Bioshock Infinite comes to mind first. The baptism scene was especially painful to endure. But also there are other places where the game doesn't just force you to do something, it will even force you to look at a certain direction.
Or FarCry5, might be an open world game, but in terms of storytelling and progression it's as set in stone and linear as can be. You can see what's coming from a 1000 miles in it multiple times, yet there is nothing you can do to avoid it.
I was also annoyed with skyrim when you need to complete the whole shout ritual, I always wished there was an option to just reject the teachings.
But of course the worst kind are forced failures, where the game will make the player work for a goal only to yank it out of your grasp, with no chance of redemption, that's by far the most frustrating thing a game can do. For example Cyberpunk 2077 is guilty of this on multiple levels: (Spoilers bellow)
you are betrayed and shot by dexter deshawn, and the game doesn't even let you take revenge, and at the end you are left with a big nothing sandwitch the whole game is about survival, but you are still going to die in some way no matter which ending you chose.