Are multiple worlds possible?

Not really, you can noninvasivly override UGameEngine and UEditorEngine which also means UEngine it self. In Engine.ini in section [/Script/Engine.Engine] and you place those:

GameEngine=/Script/Engine.GameEngine
EditorEngine=/Script/UnrealEd.EditorEngine
UnrealEdEngine=/Script/UnrealEd.UnrealEdEngine

Ofcorse with proper module name and class name of your classes

Also i didnt said you need to, i just recommanded to look up UEngine as there world managment code and override right functions if needed.