With Unity 5, you can load/unload levels in the background additive. This means you can load parts of a large open world at any time, and unload those parts too. Which means you can break up and store your open world as a levels which get loaded in the background async with no loading screen or lag.
In this way you can load only the cubes the player is in, and the cubes around him, and unload the ones that are not. That said you must also decide some feature for handling view distance beyond the loaded sections of your world, like fog or perhaps having some LOD.