Myeah, if you think about it, can't you imagine that being highly improbably and off and feeling kinda ridiculous? The whole of Skyrim is surrounded by unsurvivable cliff ledges or mountains that you cannot climb because they are too steep ALL the way along the borderline?
It's probably not as improbable as you may think it is, it would make for a good fall back point in a war, a natural defense against invasion and a reasonable definition of Skyrim's borders in ye olde times.
Geez, how did people get between provinces? And why didn't I see these cliffs in Oblivion?
Skyrim does have ports, and access to the sea (if I recall rightly), plus magical means of transportation and some of the Dweomer's lost technology (which may have included airships as is suggested by some). As for the Oblivion question? Concerning that, I can only tell a friend.