I think the game will start in Windhelm, as it seems to be one of the main entrances to Skyrim, especially from Morrowind (maybe how the character starts off - a refugee from Vvardenfell?). Seyda Neen was the entrance port for imperial boats, so it made sense that it was the starting point. It is also fairly close to other cities, just like the Imperial City and Seyda Neen.
http://www.uesp.net/wiki/File:Skyrim_map_Oblivion.jpg is a link to a map of Skyrim.