So I travel to Windhelm and open the gates. What do you know. A dragon inside the city. what the hell. why does this happen? i had to reload the autosave since it killed someone.

Well it is a flying lizard. A wall isn't going to keep a flying lizard out anymore than it keeps a bird out. They just happen to be slightly more destructive than a bird.

Because it killed somone? i think it would be unrealistic if no one died during these dragon attacks.