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When hanging out at the Mages Guild in Skingrad, and just listening to the conversations, Adrienne tells a story, where she had just bought a sweetroll, then was accosted by three bandits. She says, "So I took the sweetroll and I...." and then Vigge starts interrupting (and I want to backhand him for it) and that's it. Never to hear the end of this damn story...
That is an inside joke. In the character creation part of Morrowind you are asked that the question of what would you do if some bullies took your sweetrooll. It's one of several questions meant to help recommend a class for you. The class recommendation depends on your characters answer. That's why they end that without saying what happened, since that depends on you. I've heard that from Guards in Skingrad too.
EDIT: I found the Morrowind question and possible answers on the wiki:
Question 9: While in town the baker gives you a sweetroll. Delighted, you take it into an alley to enjoy only to be intercepted by a gang of three other kids your age. The leader demands the sweetroll, or else he and his friends will beat you and take it.
* Combat: Drop the sweetroll and step on it, then get ready for the fight.
* Magic: Give him the sweetroll now without argument, knowing that later this afternoon you will have all your friends with you and can come and take whatever he owes you.
* Stealth: Act like you're going to give him the sweetroll, but at the last minute throw it in the air, hoping that they'll pay attention to it long enough for you to get a shot in on the leader.
http://www.uesp.net/wiki/Morrowind:Class_Quiz
The Skingrad rumor is an inside joke about that.