Rōma in Italiā est. Italia in Europā est. Graecia in Eurōpā est. Italia et Graecia in Eurōpā sunt.
This is not what most people mean by immersion. It's not a natural dialogue you're expected to understand by osmosis, it's an extremely carefully designed series of sentences aimed at manually bootstrapping your Latin. The book contains grammar explanations - wholly in Latin - from chapter 2 onwards. Every chapter has a grammatical concept it's designed to illustrate, and it manages to introduce fairly complex ideas - passive conjugations! ablative declensions! - in a deeply intuitive way, entirely in Latin. It's an incredibly satisfying course. If you have any interest in Latin at all, or are just looking for a New Year's Resolution, I would heartily recommend it.