So I haven't seen a comment about this before.

If you pause at 4:20 (http://www.youtube.com/watch?v=K9hJMxw126A) you can see:

(A) Talk to Whiterun Guard.

This tells us 2 things:
1. Guards can talk while being eaten by dragons :tongue:
2. The city that we saw before that (the shot with the giants and the mammoths, around 3:14) is probably Whiterun. (it looks big!)

What do you think?