I feel for you. It's tough when one kid wants the other one to come over but the invited kid is "just not that into you" with the host kid. And you have the added issue of the other mom insisting that only SHE host a play date. The fact that both mom and dad absolutely must come on every outing that is not at your house or theirs is kind of a red flag to me. You say it's fine with you that they're so protective, but between "they have to be at our house" and "dad has to come too if they're not at a home," they sound like they're at some risk of being truly overprotective.
Anyway, that's not your issue, it's theirs, but it does affect your child's friendship with their child. You did the right thing to try saying, "Let's go to (a third place with an activity)" and that seems not to work well. So two things occur to me: You can get firmer with mom about hosting and your daughter (not sure of her age) can get more assertive about what she wants.
If the other girl asks for the play date and mom says, "Sally really wants Joan to come over," try saying, "I know you prefer to host play dates at your house but you have done it so often. I really want to reciprocate and have Sally over here because it's not fair for you to do all the hosting, and Joan wants to play host to her friend here at home too. Also, Joan has a new (non-video game, toy, whatever) that she wants to enjoy with Sally but needs to do it here. Please let us host this time. It's not a big deal." I would find that argument, politely but firmly said, hard to resist, but don't know if this very protective mom would -- still, it's worth a try.
You could also try, "I'd like to take both girls to mini-golf and it's my treat, so you and Bob really can have the afternoon off. Get your errands done or do something with just you and Bob. I know you both like to come on outings but I thought I'd take the girls for golf and ice cream and let them have some time alone as friends." Generally I find that parents back off if you use the "take the afternoon off!" line but these two might not.
If she still says no, Sally wants Joan over here, you could do one last play date at their house -- but equip your daughter to stick up for what SHE wants when she's there this time. Have her rehearse with you what she wants to tell her friend. She needs to be able to say -- nicely -- "Sally, we play a lot of video games when I'm here. I don't like them as much as I used to. A little is OK but we do it a LOT. How about if this time we play (and then your daughter should be prepared to suggest something specific!)." If they do end up playing video games, tell your daughter it is OK for her to say after a short time, "Sally, I really am done and would like to play X with you instead."
Does your daughter really like Sally overall and does your daughter want to play with her but just doesn't like the games? That's important. If overall your daughter just isn't that interested, games or not, then it's time to be too busy for any play dates -- at your house or theirs -- when Sally's mom calls. "Sorry, Joan can't make it. We're really busy this month." Eventually Sally will stop asking. Meanwhile, be sure Joan has plenty of other new playdates with friends who share her interests.