I have encountered this before and it can infact be used to travel around Cyrodiil. If you go through the gate within the gate you wil find yourself in another part of the world with a new gate on your map since it leads back out to Cyrodiil. They are closet seperately though so if you close one the other is still open.
Yeah, but as a shortcut it kind of svcks. "To get there faster, take a left turn at the Oblivion Gate, fight 30 spider daedra and couple of dozen Daedroths, then turn left and come out just south of Chorrol. Or you could just take the road and fight two bandits and 6 wild boars." Guess which one I'd choose if I had a lick of common sense? Of course, if I had a lick of common sense I wouldn't be the hero of this game, now would I?