Desert from Fantasy Player and Desert World from Sci-Fi Player for a start. Lunar Prison has a Reflective Oasis mood, and Caravanserai has some desert temple sounds. Desert Nomad Camp may also have useful sounds.
Sense of dread and grandeur - Elements - Horror from the Fantasy Player (for all the dread that’s fit to hear) and then Preserver Artifacts from Sci-Fi Player for grandeur.
Big underground caverns - Dream Quests II, Flooded Cavern, Windsong Caverns, any of the Dungeon of the Mad Mage sets from Fantasy Player, Sub-Terra, Nyarlahtotep, Cultists, and Mi-Go Underground Dwelling from Sci-Fi Player. Also from the Board Game Player, try Claustrophobia 1643, that’s got some great underground cavern dread!