As online higher education expands, sustaining student engagement remains a critical challenge. This paper approaches immersive learning by investigating how custom GPTs foster immersion (as a state of deep mental involvement) for students and instructors. While large language models (LLMs) offer potential for enhancing feedback, little research has examined instructor-created custom GPTs designed to align with specific pedagogical goals. This paper addresses this gap, employing the Immersive Learning Cube framework, which conceptualizes immersion through three dimensions: system (envelopment by the environment), narrative (meaningful context), and agency (commitment to meaning-making). Through a qualitative analysis of two distinct case studies, an accelerated graduate grant writing course in the US and an undergraduate software engineering course in Portugal, we analyze course-embedded artifacts to map how custom GPTs influence these immersion dimensions. In the grant writing course, the custom GPT functioned as a feedback partner, fostering system immersion through its immediacy, narrative immersion by reinforcing the proposal's evolving story, and agency immersion by empowering students to negotiate feedback and take ownership of revisions. In the software engineering course, a diegetically-framed custom GPT acted as a metacognitive tutor, enhancing system immersion via its permanent availability, narrative immersion through its role-play function and agency immersion by scaffolding students' self- and co-regulated learning. Our findings demonstrate that thoughtfully integrated custom GPTs can act as powerful pedagogical partners that leverage all three dimensions of immersion. Rather than replacing human instructors, they can amplify immediacy, coherence, and learner autonomy, creating more engaging and immersive online learning environments.