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In the outside world the game generates the sky to go with it and I've just checked the collision information and I'm not sure but I think there is no collision
above the walls in the citys so I think theres no stopping you just flying in there
because the city is connected with the countryside. The loading time that you get
when you enter the city through the gate is probably just the games engine calculating which cell the door connects to and reloading the same cell all over again except your character is put on the other side. I've drawn that conclusion based on the little village of hackdirt which is connected to the outside world and you can walk into it without loading screen just because there is no wall protecting it from enemies. also think of what happens when you want to wait it has to reload the area as well.
You are right - there is no collision above the walls (you can fall straight through the imperial citys tower if you try to stand on top) But the cities are not connected to the outside world at all, - infact most cities have their own world (e.g. anvil world etc) so all you could see from the airship would be the small block houses that make up the town in the tamirel world, (Like a box with a flat texture)
I'm pretty sure the reloading has something to do with npc's or maybe different textures for night and day, although I'm not sure about this...