So correct me if I am wrong: the roads in Skyrim don't have names?

They don't. The lakes do, as do some landmarks. And the mountains.

That, and these Nords don't know any roads.

Nords really don't have roads. They're behind the standard.

All the roads in Skyrim lead to Sithis.

Basically, road names are the end points or points of interest. Like the Road from Dragon Bridge to Rorikstead. These are not on signs or anything like that. There are signs that point the direction to various cities at the intersections and they can be easy to overlook when running by.

To be fair...They kinda do / did have roads, there's cobblestones on all the main roads. Not the entire length just in patches but at some point all the main roads where cobblestone roads.

Now are you referring to the roads/streets in cities/towns? If you are then they have districts. If you mean the main road from town to town, then no it doesn't. You use direction N/S/E/W to travel and use the signs at every crossing to guide you in the direction of said town

I guess they call the roads "Road or dirt path"!

Yeah, there's definitely main roads there.

I'm not talking about the ones in the settlements, no.

I was checking for story telling purposes. I suppose I could make some up.

Also, omg there's a turtle emote