Not really, Metal Max Returns and Metal Saga are both set up pretty much the same way as MM3; the world is divided into specific areas in which you are expected to do side quests while figuring out how to get into the next area.
I suppose you can skip through some stuff, like going through a certain difficult tunnel to skip a sequence (I think there was an old subway tunnel in MMR you could go through that took you straight to the city with skyscraper dungeon, skipping knocking down the abandoned building to create a bridge, and you could go through the train tunnel to skip taking the train in MS, although that sucks because it has a crazy encounter rate with really annoying enemies), but it's really difficult to go straight to the final boss while completing NO sidequests, since the games do have a sort of "path" for you to follow made of a series of areas in a specific order that you're free to explore.
MM2R is a bit different in that the things locking you out of each area are big story bosses, though. It also has the most open world of all the MM games I've played, since the third area you open is basically around half of the entire world, including the entire "ocean" (basically a huge crater lake, I think, judging from its shape and the ruined buildings you can see at the bottom in certain areas).
I haven't played it, unlike the others, but I assume MM4 is structured the same way, since it seems to be an integral part of the series.