It has been confirmed, all cities will be "in the same worldspace" but interiors will still be separate cells. Strange as it seems, I can recall these words exactly, but not where they came from. Was it twitter? It has been discussed in detail here at any rate. Will get back to you with the original source if I can find it.
CORRECTION: They are not confirmed, this is the exchange of tweets I was referring to, updated since last I saw it...
@DCDeacon Are the cities in their own Worldspaces or open?
@Scharesoft Everything outside is one open space. Interiors are separate spaces.
@DCDeacon You made the forums pretty happy with the tweet about the outside world being one open space.
I love the news! Thank you!
@The_Impaler22 Uh, why? It's been like that in every ES game we've made for the last decade +?
@SamuelBacklin Yup. Had a brain fart. They were talking about loads. I don't know the answer for the cities. Sry for confusion. I svck