Indeed, the desert could give you that sense of the sublime and of our cosmic insignificance. There are other climates that are just as sublime, though. You can get lost in a forest, too, or feel small when climbing a mountain or sailing the ocean. These natural environments have different characters, to be sure, but they can all generate religious/spiritual experiences.

What I think distinguishes the desert is the need for algorithmic simplicity for survival's sake, because of the extreme heat's effect on the brain. Monotheism simplified polytheism, and God's character ends up as oppressive and indifferent as the desert heat. I doubt that's an accident.