Reports in the lore of one person going from one gate in the deadlands to another? not that I can think of. (Though Sul used various passageways through the realms of oblivion to get to Vvardenfell without having to step foot into any other part of morrowind, and a similar method of travel to Sul's was used in the in-game book "The Doors of Oblivion") However, If my memory is intact, I do recall seeing, on rare occasion, other oblivion gates besides the one I entered into. I see no reason why one couldn't have used the Oblivion gates to get from one part of Tamriel to another, though it would be a hugely impractical means of travel.
It's as impractical as Vaermina's Torpor, which is still quite a popular method of travel to the people of Tamriel even though of it's dangers.
And I was just wondering because a tamriellic province which had a Daedric Prince's blessing, could use the daedric realm travel to invade another continent easily.