Waaat. Oblivion envelops the Mundus, does it not?
Yes, in a manner, but the realms of Oblivion are imitation-spaces that occupy the great "sea" of Oblivion itself. When people say that the stars and sun are holes in Oblivion to Aetherius, they don't mean like a pinprick in a curtain. Or, well, they actually do but it's more than that. The hole is viewable from every direction, see, so you can be standing on opposite sides of the hole that is a star from someone and yet still both be in Oblivion, and you can both enter into the same hole from any direction.
At least that's how I've figured it's supposed to be, based on the way the sky looks whenever we see or have described a Daedric plane(t).