Can someone clarify the city I am missing?

The five cities with walls that indicate you are entering a separate cell in Skyrim are:

• Riften
  
• Whiterun
  
• Markarth
  
• Solitude
  
• ? (Either Winterhold or Windhelm)

* Note: On the leaked map the icon for Windhelm looks larger than the one for Winterhold.

Windhelm. Winterhold is a town where the College of Winterhold resides. It's a huge library overlooking the town according to forum member Vincent McCool who played at Eurogamer.

^ This

Yep, I know that. I just find it weird because I was under the impression Winterhold was the second wealthiest settlement in Skyrim and it seems from that preview the college was larger than the town. Also it doesn't have it's own cell.

Is it not sort of just a building with a few building outside?

It's not as if you can just walk in without a load screen.

I'm not sure what the first part means, lol, very confusing. As for the second part, I don't think their are load screens for towns that aren't on that list. A lot of gamers said Falkreath didn't have a load screen.

Markarth
Solitude
Riften
Whiterun
Windhelm

These all have separate cells. Every other town is open.

You just asked what the 5th major city is lol?

None of the towns have their own "cells", they have their own worldspaces.Technically speaking, the cities are full of cells, but all those cells are contained within one worldspace.

Sorry i mean is it not just a few building meshes with some NPC's milling about basically like Riverwood. I meant it's not like you can just walk inside the building with no load screen, the interior will be in it's own cell which is where i imagine most of the npcs and services will be.

I haven't seen what it looks like so i'm just taking a guess as to why it's not it's own cell.

You can walk in Winterhold without a loading screen, because it doesn't have it's own worldspace like the five major cities do.It does have a large castle from what I've been told though, but the town itself is open.

Think Morrowind towns like Seyda Neen and (it's been a while) Gnisis(?).

My impression of Winterhold is the college and a few building that make the town, so i'm thinking it's a few small building and one big one. All of which have there own interior cells like Riverwood (and, well every other building in the game).

I also imagine most NPC's will be inside the college not outside so it's not demanding enough to require it's own worldspace like the cities.

I really hope it is bigger considering it is the financial rival to Solitude. I think it can be like Balmora, open but still pretty big.