No, there isn't. It's basically a hoax.
If such a thing existed, it would have been found via the Creation Kit not long after it released and it wouldn't be a rumour.
There's always stuff like this, For every game someone claims there's some super secret no one else has found yet.
Skyrim, it was a hidden Dwemer quest.
Fallout 3, it was bigfoot. (I think, I remember a thread claiming it)
And not just Bethesda games and not just recently either. I still remember one of the papers here in the UK, The Sun (The Scum as it's called by those in Liverpool due to the way it slandered the fans at Hillsbourgh) used to have a video games pull out in the 90's with a column entitled the 'Sun No-Hoper' who ran a long running claim of a super secret level in Super Mario World. Every week, he revealed a little piece of the secret to finding it,
Eventually, after months of this he revealed it was all a hoax. the sheer amount of complaints killed the column off. Even then, people didn't like being hoaxed with games.
Nah, if I remember the last time this topic came up, it was about this secret quest where you could find an underground city populated with Dwemer. All rubbish of course, but it still seems to do the rounds.