Why you are keep saying that skyrim is an open world game when everything from dungeons to cities are closed to cells and don't communicate with each other like in Morrowind? Morrowind was true an open world game, oblivion&skyrim aren't, that's why levitation spell is gone.
The only city of real size in Morrowind was Vivec, and that was separated into closed cells. The dungeons were also closed cells. Small settlements in Oblivion were as open as Pelagiad, its just that none of them were quite that large.
I think by open they mean you can go anywhere in the game pretty much at the start, including the caldera of Red Mountain (assuming you survive the trip).