All instances have context. Their instance portals are somewhere, maybe they have quests leading up from the surrounding zone. Not all zones are truly part of the world. Of course this is somewhat inevitable merely due to being instances, cut off from the world which we otherwise inhabit together, at least per server.
There are three broad ways to classify the extent to which an instance is part of the world, based on how much it is connected and therefore remains part of that world.
At the lowest extreme are those instances which are connected only by the portal. Furthermore, they have no scenery which could be perceived as outside. Examples include Azjol'Nerub in LK, all TK instances (excluding Hellfire Ramparts), and Blackrock Depths in vanilla.
In the middle are instances which have visual connections to the world. Drak'tharon is a LK example, Hellfire Ramparts in BC, and Scholomance in vanilla.
Then there are the very few instances which are connected to the world beyond just the portal. At certain points the player can actually leave the instance and land in a corresponding spot in the world. I've found none in LK, while BC only has Ramparts, and vanilla is blessed with Blackrock Spire and Shadowfang Keep.
Even though they have, for most purposes, no effect on how the game is actually played, I rather prefer those instances which are connected to the world.