Pedantic note here: While it is syntactically valid to start a package name component with an upper-case letter, it is a standard convention that package name components should start with lower-case. Similar conventions apply to class and member/method naming capitalizations.
Also, it's common, though not required to make your package names be world-unique by making the high-level elements of it to reflect the organization you're working for. Now, it's perfectly OK not to make a package name be something like "edu.ucf.cop0999.jsmith.project1", but if you want to share your code with the world, it's helpful.
And of course, while Windows likes to create directories with names that start uppercase, the rest of the world, including
Java, generally does not, and Java is case-sensitive, so if you do rename your package from "World" to "world", make sure you package directory name is also changed!
On a less pedantic level, it's worth noting that in practical application setting up a dungeon like this is often easier to do declaratively. If, rather than coding an explicit statement for each room and exit, you had a more general algorithm, you could even load up the architecture from a config file such as a Java properties file or a structured data file such as YAML or XML and be able to completely change the world without altering the program code.