If anything, I think they might have put it in Oblivion so the Battlemages wouldn't raze the Imperial City to the ground by accident. I can imagine those training-sessions being quite rough.

As to why they would train them in other provinces - why does companies reassign themselves (or their business/production) to other countries? It's cheaper. And well, for the other reason I came up with as well: It's better to raze a foreign city than a Cyrodiilic one. Or better yet, base the training somewhere out in the wilderness.

You raise good points. As for the reason you establish a company in another province, so you can market your product to new customers. That is different than having your army being trained in the same province as where your trying to market to new customers. I'm not saying its out of the question, but it just seems a little unorthodox. Especially now, just after the Oblivion crisis, I would assume that all Imperial Legion troops are trained and deployed somewhat near or surrounding Cyrodiil.

"If anything, I think they might have put it in Oblivion so the Battlemages wouldn't raze the Imperial City to the ground by accident. I can imagine those training-sessions being quite rough."

Besides....where would you put the Dragon?