...ive been hearing about. Serana what do you think you are saying, we are in solstheim.

Maybe she thinks it's still under Nord control, since it was only turned over to the Dunmer and Morrowind after the Red Year? Or just call it what it is, she was never coded for Solstheim, whatever floats your boat lol.

Mjoll also has a bit of ambient dialogue which she'll sometimes say that implies she's still in Skyrim while traveling Solstheim.

These aren't specific to the Dragonborn expansion, but they came to mind:

Brelyna: You'll be alright on your own? Then I'll see you back at the College.
Mjoll: I thought we were getting along so well. I'll head back to Riften, if you should have second thoughts.

Gotta love the dialogue oversights.