I've never seen anything saying that it bridges the gap between Oblivion and Skyrim. And I don't think it will, because The Infernal City takes place "four decades after the Oblivion crisis" (From the back of The Infernal City), and the trailer seems to suggest that the Daedra will return from Oblivion and fight once more. This would suggest, at least to me, that Skyrim will immediately follow the events of Oblivion by as little as a few years.
And I preordered The Infernal City, I just haven't been able to read it yet, but I recall no piece of information saying that it will bridge the gap between the two games.
Mine came with it, but personally I have no problem with it bridging the gap. As for the whole Daedra thing, I'm not tossing the theory, but it is speculation. I just highly doubt it because what would be the point of Oblivion then if the entire main quest revolves around the Daedra invasion from the realm of Oblivion and at the end
Spoiler stopping it for it to just return in Skyrim?
Hopefully the next Gameinformer will lay to rest some of our speculation.
Edit: I've also heard that the Infernal City was confirmed to be canon on the blog.