I like what's sometimes done in cartoons where the character is running too fast and steps "outside" the world into an empty universe. Of course, it's not really a natural or logical barrier unless maybe your RPG is framed as a story being told.

The specter of death or some powerful deity appears and forbids the player to travel further. To continue is to be struck down immediately.

A fenced off border, possibly with a crossing at some point into the other nation that you'll never be permitted to cross. Or perhaps some unbeatable guards suddenly appear, "protecting" citizens or the region itself from... something and you are escorted back. Failure to head their warnings can get you killed.

A curse is known to have fallen upon the grasslands where every living thing beyond withers and dies. As you approach it is easy to see all life beyond in a state of decay. You could decrease the player's HP as they spend time walking that way but I'd suspect most players would try to cross anyways as their HP increases. So maybe their character stats need to take the hit instead to get the message across.

Curses can be lifted and politics change over time. So if you're looking at using the setting in future projects, they might fit best with over all story building.

Players accept a little bit of leeway when it comes to games. An invisible wall is okay if you've clearly marked the edge of the map and there's nothing of interest on the edges.

Invisible walls aren't okay when it comes to areas where you expect the player to explore, like in Fallout 3. You'd need to use map geography then.

Games don't have to be realistic - they just have to be fair.

In Skyrim the player just hit an invisible wall and remained walking / running on the spot. In Just Cause there was a message that said something like "you are leaving the mission area" and if you continued you just died and respawned at your last save point.

Another "trick" I saw recently is to fade to black, then fade back where your avatar is suddenly walking the opposite direction saying something to himself like "I'd better stay here until I'm done" or "Shouldn't go that way..."

I like the approach to slowly (at first, then progressively faster) kill the player if they try to challenge the border instead though, sounds better for a more open world game.

I like the idea of just letting them run infinitely in the same direction and once they turn around, the border is just one clip distance away. So you could run for an hour into the void but return within 30 seconds.

I read a bit of TADS manual http://www.tads.org/t3doc/doc/tourguide/index.html recently, and they have a few other interesting ideas

- deadendConnector: "You start to stride off into the valley, but soon decide it's not that interesting,
so you wander back towards the cave entrance. "

- fakeConnector: "You've come here to explore the caves, not the valley. "

Eg have interaction with some of the locals "he, where are you going? I thought you were going to help us, please don't leave!"

your initial idea seems good to me (with story-based warning and otherwise quick and painful death!)