You reminded me of a game I played a long time ago, Arcanum: Of Steamworks and Magick Obscura, you could walk for hours, but unfortunately there wasn't much to see :)
Well, no engine offers that functionality 'out of the box', so it would mostly be custom code, and in that case Construct should be as good as any other engine.
You probably wouldn't edit a map that large by hand or your grandchildren might still be trying to finish it. So you probably want to read about procedural generation to generate large areas of the map. Then you would break those up into smaller areas and edit those by hand to create towns etc. that need more of an artistic touch.
You have the right idea about in the game - only loading what is in the view (and usually a buffer area around the view). So you probably want to read about using 'chunks' for an open world game. Basically you take your world and cut it up into smaller squares - and you store that data on disk - and load/delete the objects from the smaller squares as your player moves around the world.
If you are only walking in one direction, like walking forward but with some shifting left/right like an endless runner, then it's much easier.