General:
* Imaginary
* Invented
* Made-up
* Concocted
* Fabricated
* Created
* Fanciful
* Unreal
* Untrue
* Mythical
Literary:
* Narrative
* Imaginative
* Literary
* Fictitious
* Notional
More specific:
* If it's a story: Narrative, tale, fable, legend
* If it's a character: Imaginary, invented, fabricated, fictitious, made-up
* If it's a place: Mythical, imaginary, invented, fabricated
The best word to use will depend on the specific context and the nuance you want to convey.