... well, it's not open world, but there's
Sil. It's definitely a LotR inspired roguelike, and by and large one of the better ones mechanically as well as being more true to the source than just about any other one currently available.
There's also a handful of *band variants based on LotR, several more thematic than the old ToME stuff was and still having a world map and whatnot. Forget what most of 'em are called at the moment, though. Pretty sure you can find a few
over on the angband ladder, though. Can always browse around
roguebasin, too, of course.
As far as I know, though, the closest to an open world tolkien roguelike you're going to get, at the moment, are angband variants, the older ToMEs (T2, mostly, with T3 to a degree. T4, the latest one, has diverged from the LotR roots pretty heavily) included.
Fantasy based ones are a significantly larger pool to choose from, but it depends a lot there on what exactly you're looking for; like ToME, like ADOM, like Elona, or whathaveyou. Browsing around roguebasin is going to find you plenty, and you can pick and choose from there.