Everything in the intro is really just personal reference. Its not set in stone as to how ya can go about making ya toon there. Its more that the placement of WHERE the toon is place is the problem.
Except ya not me, so its not some crappy "illusion" that ya thought out. I got control of how my toon got into the story. Oblivion wise, I uses mod to control my destiny of how I got into the big mess of the Main Quest in the first place, because the way I see it, the intro for Oblivion nothing but pure crap and I do not even deem it worthy of using it for my story.
You seem to place a lot of value on "where" the game starts, as opposed to how you got there. In that case, why not save before you get to the end of the sewer and pretend you were never a prisoner to begin with? Say your character's adventure began in a far-off place, and the mouth of the sewer is where you happen to pick up where they left off. Really, it seems to me as though this totally circumvents the circumstances of the "true" beginning - and invalidates your argument, besides.
I insist that there's no significant difference between being a prisoner in a cell and a prisoner on a prison ship. The differences that you have concocted seem to stem purely from your ability to "imagine" a character's origins - it being more difficult for you in a cell than a boat, but that's a personal issue and is definitely not universal. I, for example, have no problem imagining a good origin in either environment. Why?
Well, ultimately, I think your issue may stem from the same place as alot of Morrowind zealots - you start every experience with Oblivion assuming you'll be disappointed, and then you are. It's a self-fulfilling prophecy.