There is a lot of things going on "under the hood" of a game. It would be impossible for one person to "do it all" on a game the size and scope of Skryim. Something more do-able, and valuable if you are teaching yourself about game design - is to take a small project. If you have a PC version of the game, then you have access to the Creation Kit, and there is a lot of info out there on how to create stuff in the game. I think it would be a valuable exercise to create a small, simple quest, for example, or create a playabel space (house, farm, whatever) within the existing world space. See how the different parts work together. Level Design, World Building, Concept Art, Effects, Graphics, Optimization, Content Design, Fiction/Quest Design, Animation, Modeling, Platform, Combat/Leveling, Progression, Technical and Functional testing, - these are just a few things off the top of my head that I have read about in reading about games. I am sure there are a lot more.
In trying small projects, or just studying them, it gives you a better look in a more approachable way, at what goes into a fully functioning game world like Skyrim. It might focus you on an area that particularly appeals to you,rather than being overwhelmed with how many moving parts there are in a game.
Edit: That is not to say that one single person cannot design and implement a working game - it has certainly been done. But an open world game like Skyrim... no.