Immersive data storytelling is an emerging field that combines narrative visualisation and immersive analytics to engage an audience. While there are existing design spaces for narrative visualisation on 2D displays, there are no guidelines for creating immersive data stories, making it difficult for practitioners and researchers to explore this space. In this paper, we present a preliminary design space for immersive data storytelling that is informed by current practices and multi-disciplinary views. We interviewed multi-disciplinary experts, including museum designers, architects, and game designers, to understand how they communicate stories in physical spaces and immersive mediums. We applied inductive thematic analysis to the interview responses to inform the dimensions of the design space and analysed a systematic selection of publicly available immersive stories. In the end, we had 13 dimensions in 7 categories. We present insights into this design space as common practice or areas for future research.