As it has been mentioned, a city would be very difficult for any reasonable computer to run if all the interiors cells of building loaded on the fly as you entire the area. This has, of course, always resulted in very broken stealth. How about this: you approach a door or a window, and have the option to "peek" through the keyhole or window. Small load, (perhaps even a transition load screen as you draw your eye level to the keyhole or use your hand to shield your eyes against the glass), then it loads the interior of that
one building. You would be able to look around and make sure there is no one standing there looking out the window you are climbing in, or sitting across from their front door eating a midnight bowl of porridge or some such. Surely the addition of one interior cell isn't going to break the bank. And of course, now there wouldn't need to be a load to open the door and enter, it's already, virtually seamlessly loaded! And if you choose not to enter the building, it can dump the cell, going back to opaque glass when you step, say ten feet away. In this way, a thief has the necessary resources to properly eavesdrop, scout out a location, and do all the other things that make it so great to be sneaky!