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There are some shows where each episode feature a new setting with some unique attribute. Examples include Doctor Who or Star Trek (which have a recurring cast), and Twilight Zone or Black Mirror (which don't).
Is there a term for these kinds of shows?
A show which has episodes that stand more-or-less independently are called episodic. Important plot points do not carry over from episode to episode. Although the show may reuse settings, characters, etc., you can pretty well watch the episodes independently and fully understand what's going on.
In contrast, a show with long story arcs that take multiple episodes to complete are called serials. If you try to jump in during the middle of a season, you'll probably be lost. Some shows, like Star Trek, can be a mix of both - many episodes are just one-off stories about a peculiar planet, but there are some longer serial story lines that take multiple episodes to complete.
Besides the Monster of the Week and Adventure Town mentioned in comments, there is also Mystery of the Week
In essence, to keep shows from getting stale, the protagonist(s) can travel from town to town, planet to planet or dimension to dimension (timeline?) to help people overcome a different challenge each week.
Dr. Who is a great example as you mentioned as he can travel forwards, backwards through time, different planets, etc to help save different societies or planets from the Daleks, the Master, what have you.
As others have mentioned, Dr. Who & Star Trek tend to be episodic with case of the week, adventure/monster/mystery of the week "built in", even though there is also serialization and/or bigger arcs with both shows and/or their later incarnations.
But with Black Mirror & The Twilight Zone one is dealing with new characters and settings in every episode and this kind of structuring is an episodic "anthology" series. (In Black Mirror's case, however, there is evidence to support the theory that all of the episodes exist in Black Mirror's universe(s), but indirectly).
However trying to answer your Q more precisely is hard, because you are under the assumption that the episodic structuring is a separate idea from say, the individualized idea of switching settings every week.
Advantages of the episodic style (From Author J.S. Morin)
Any series is going to have an overall theme or arc. What the episodic style changes is the reliance of one installment on the previous. You can jump in at nearly any point, and while you’ll lack the back story, you’ll still be able to experience a good story. You wouldn’t read The Two Towers without first reading Fellowship of the Ring, but you can pick up Terry Pratchett’s Discworld novel anywhere you like. This lets readers pick and choose the books that interest them, without having to “get through” earlier volumes that may not be to their liking.
But again, case of the week, monster of the week, mystery or adventure of the week (with or without the same characters) are all about episodic structuring to keep things fresh, and because network TV in particular still tends to hold the belief that some kind of episodic structuring makes it more accessible for any given audience member to be able to jump into the series at any time. In other words one wouldn't need to change things up all the time (case, mystery, setting) unless one wanted to make it easier to jump into the story.
But other difference between Star Trek/Doctor Who vs Black Mirror/The Twilight Zone is often the idea that in serialized hybrid series, you are still more invested in the main characters over the long the haul and therefor those characters are not solely about serving the theme or plot alone, but rather sometimes those things work to establish whom they are and what they mean, as they are set up as ongoing protagonists, -- but in an episodic anthology series, one is usually (but not always) a bit less invested in the characters and more intrigued by the plot twists and fates of the characters, which IMO make it much more solely about theme, --often in the form of a cautionary tale that hurts the main character(s) and/or showcases serious repercussions with no way to get out of it. Star Trek & Doctor Who are both pro humanist stories showcasing mostly positive portrays of humanity being able to save themselves and/or make their realities a better place.
