Exactly. To me, while Morrowind, Oblivion, and Skyrim are pretty good, they're just not believable as an entire province.
To be fair in Morrowind we don't actually get to see the entire province, just Vvardenfell district. The entirety of Morrowind province is a good deal larger then what we see in game. But yes, a game encompassing all of Tamriel would take way too long to make. I don't see it happening, at least not any time in the foreseeable future, for that reason alone. Personally I want a game that is more like DFaggerfall in scope, one absolutely massive province.