If a program is licensed under the GPL, this license affects whether the program can be combined with other creative works (yes, if the combined work will also be licensed under the GPL). However, if the combination does not produce a combined creative work, the GPL license is irrelevant. In particular, the GPL does not extend to data you are processing with that program.
As a simple example, I can use a GPL-licensed word processor to write a novel without having to license my novel under the GPL. But note that a screenshot of the word processor with my novel includes both GPL parts (the picture of the user interface), and parts to which I own the copyright (the excerpt of my novel visible in the screenshot).
As a more tricky example, a GPL licensed language interpreter can execute non-GPL programs without any problems. However, things start getting hairy if the program calls into GPL-licensed libraries provided by that interpreter runtime system.
A game engine has properties similar to both these cases. The input and output of the game engine (e.g. models, textures, rendered frames) are not subject to the GPL. The output (e.g. screenshots of a rendered scene) may be subject to the GPL if it shows GPL-licensed assets or other media that were somehow generated by the engine authors. (A similar case is discussed in the GPL FAQ here and here: “Keep in mind that some programs, particularly video games, can have artwork/audio that is licensed separately from the underlying GPLed game.”)
Scripts executed by the game engine would usually be subject to the GPL because they will call into APIs provided by the game engine. This can be avoided if the authors of the game engine explicitly issue an exception to the GPL requirements. The GPLv3 includes a specific, well-defined mechanism for issuing exceptions to the GPL. The LGPLv3 license is in fact implemented as such an exception. As an alternative, the game engine can offer merely a language and not an API. This is in many cases entirely sufficient, but could mean that the engine implements its own domain-specific language, rather than adding APIs to a known scripting language such as Lua or Python.
There are a number of free software games that use a GPL engine and CC-BY-SA assets. This is generally done because the GPL is not a good fit for non-software creative works. Using a CC license for assets addresses that. However, CC-BY-SA 4.0 is explicitly compatible with the GPLv3 with the resulting combined work being governed by the GPL. Therefore this combination would be possible even if the engine's GPL would extend to the assets. And since the CC-BY-SA is a copyleft license, this doesn't exactly demonstrate that non-copyleft assets are possible.
