The heart of option pricing is the ability to replicate. If you can make a mango from apple and orange, the price of the mango is determined by the cost of an apple and an orange. People may value the mango less or more than that, but the market price is already constrained and there is no scope for pricing in these (real world) preferences. No replication means people can opine on the value of a mango and that value has a way of sneaking into the mango price.
If one sells options on earthquake events, there is no way to replicate that payoff so there is scope for subjective assessment (real world probabilities) driving the price. There is no concept of risk neutral probability here because there is no replication of the option payoff.