There are just as many explanations for why your in prison. You could've been imprisoned because you were wandering about and you were captured and put in jail because they think you are a spy for the enemy faction. There can be plenty of explanations for why your in a prison. I really don't see why it matters if you start out in a prison. Now if you were the same character every time and you were a prisoner every time then you would have to think to yourself "why is my character always in prison" but when they are completely different people in different places isn't a big deal. I mean, it's meaningless to get caught up in where you start anyhow, why spend time trying to make backstory that a player may or may not like for their character when you can work on looking forward and making game content.
Perhaps it's meaningless where you start etc., but I'd be a whole lot more on the edge of my seat shivering with anticipation if the intro went something like this:
"As you climb over the last peak of the great Jerall mountains, you brush the snow off your thick bear-hide coat and marvel at the glory of the land of Skyrim, which lies beneath you. You can't help but wonder how your old worn-out boots managed to carry you this far, but it's certainly time to find a town with a decent boot maker and look for some new footwear. With that, you head down the mountainside toward the spiraling smoke of a small settlement."
rather than:
"So, here you are, once again, in prison.."