I'm going to hazard a guess that we'll be coming over the border from Cyrodiil. This guess is not because Oblivion was the last game in the series, but due to the geological location of Skyrim. Because it's in the north, a lot of it is mountainous and tundra. The Western area of Skyrim, where Marketh Side is, seems to be a rocky canyon area. And as I recall, there was a lot of mountainous terrain in the northwestern area of Morrowind. The northern area of Cyrodiil had mountians on the border, but south of that was a lush pine forest. I found a map in another forum ( http://imageshack.us/photo/my-images/402/skyrimmapls.png/sr=1 )that has color coded terrain, so assuming this is correct, it confirms my suspicions on the location of the pine forest area.
Based on this, and the few locations labeled here, I'm going to say we may be starting in Falkreath Hold. The location seems reasonable. Not exactly centrally located, as the starting locations for both Oblivion and Fallout 3 were, but remember, Morrowind started relatively near the border. If the first quest you did pointed you North towards Whiterun you'd end up fairly centrally located right towards the beginning of the game (at least if you follow the MQ right off the bat).