We can think of this as analogous to a chapter in a book! The overall work (the game in this case) gets italics as the "major" title of the standalone work. The pieces within it (chapter, missions, and so on) usually get quotation marks, indicating that they're part of the standalone work.
Keep in mind, this would mainly impact how you refer to the scene in your paper and probably not the citation. To borrow the book analogy again, you only cite a book chapter when it's by a different author than the overall work. You'll most likely cite the overall video game in your Works Cited, and narratively discuss the cut scene.
