Are there any mods that integrate interior cells (like caves, houses) into the surrounding world? This would presumably render mods like Immersive Interiors unnecessary as you could just make the windows of your house transparent.

Nope. Aside from Reneer's Interiors Mod and Immersive Interiors, nada.

The only way to actually make this happen would be to move EVERY interior into the Tamriel worldspace, and this would cause numerous problems.
1. Who has the time to actually do such a thing?
2. Many, many, many interiors are not on the same scale as their exterior model, which would cause clipping problems, and in some cases, outright broken interiors.
3. Frame rates would likely plummet due to all the extra graphics data that needs to be rendered, especially in cities.
4. Particularly in large cities, doing this runs the risk of AI overload. The game will only process so many AI packages at once.

Interiors NEED to be kept separate from exteriors, no ifs, ands, or buts about it. They were not designed to work together and trying to force them is IMHO a lot more trouble than its worth.

Even if it were remotely practical to do this, caves, dungeons, ruins, etc that exist underground wouldn't be possible at all since you can't simply cut holes in the landscape. It would have to be limited to above ground buildings only, and even then, it isn't practical for those interiors without windows.

Maybe we'll get lucky and the new engine for Skyrim will allow for fully integrated interiors the way the Gothic series does it.

I don't know if http://tesnexus.com/downloads/file.php?id=22846 fit with your request.

Another problem would be all the quests and packages that require the interior cell(s) to exist - if everything was simply copied out of interior cells and placed into the exterior world, all those quests and packages would instantly break.

Another issue to mention is that rain would be falling through every interior in the game whenever such a weather was occurring.

As Leonardo2 mentioned, there are some houses like you described, including my Abandoned Mountain Shack. There are a few others which you can find by looking through the "exterior homes" catagory at Oblivion's Real Estate. As pointed out by many, this would not be practical for most vanilla Oblivion homes for the reasons mentioned. Some exterior homes, like my shack, use scripts to keep the rain out.

KnownasElidor, you really should try one of the exterior homes. It may be just what you are looking for.