That makes more logical sense than invisible walls
In a province like Skyrim, bordering with mountains would be perfectly feasible, not to mention immersive. And border posts sounds cool. They could even have it so that they can be killed for loot, only to be replaced with infinitely respawning other guards....
I'd prefer not, just have them shout out a warning, skyrim is being kept out due to the internal disputes, and violation of the law (had to say it) will result in being shot at.
the guards themselves would have to be tough and have strong arrows that paralyse you, and after shot, you wake up farther away fromt he oupost, wounded. would be cool, but the invisible barrier is still simpler, and would still be a feature you'd see once then not try again.