I tried this yesterday with a character. I basically started up a character and went to a different location and then began my roleplay from there. I liked the idea, I basically ignored that Helgan happened and I just start my roleplay from that location. This is what I did (I'm on 360 and don't have access to the mod). What you basically do is ignore Helgan and start your roleplay from an alternate location.

Start the game as usual up to the point where you select Hadvor or Ralof. If you aren't doing the main quest which you probably aren't, then you'll want to pick Ralof, that way you have access to alvor in Riverwood. Then after that let Ralof do his thing against the imperial general and just run through the rest of the zone, try to get 20-50 gold while you do that. I believe the gold bag near the bear has at least 30 gold, you can get around 10 gold from the Hadvor starting room and at least 10 gold from the torture room beyond the room where Book of the Dragonborn lies. It's pretty easy to get 20-50 gold from the helgan fort.

Next after you exit Helgan head north, you may want to try avoid fast travel points, I can do that up to the carriage at Whiterun and not hit a fast travel point. You may run into wolves, if you don't have a weapon just punch them, it's pretty funny when you get an unarmed kill cam. Then take a carriage to wherever and start your roleplay from there. It could be a mage heading to the college of winterhold, a person arriving in a port city, or the one that I did, get yourself shipwreaked just south of Volkhiar keep. All you have to do is ignore that Helgan didn't happen and you don't have any extra gear or you pick something basic that fits your roleplay. Make sure you get the 20-50 gold, I didn't do that my 1st time and I had to basically run to icewater jetty and that was not fun. Well it was fun, I didn't hit a fast travel point but it wasted time that I could have been roleplaying. This is going to be very helpful for me because there are times where I hate using Helgan as a starting location and this is a great tool to use in helping overcome that problem.

There is also a modless start that uses a batch file, and it allows you to visit Helgen before it's destroyed. Instructions here:

http://www.uesp.net/wiki/Skyrim:Console#Guidelines_for_Using_Commands_in_Batch_Files

EDIT: I'm unsure how to start the main quest using this method, though the link indicates the answer is in the "Quests Unbound" section.

Ah, found it.

In the console ener:

"setstage MQ101 30"

without quotes. I think perhaps you could use a later quest stage, as well.

http://i0.kym-cdn.com/photos/images/original/000/210/119/+_2acc5a8841f8752904d37f90a8014829.png

On consoles, that is the only way to role play a character that did not magically appeared in Skyrim as a prisoner on a cart.

I'm on PS3 so I'm actually RP'ing my character as not a prisoner. My future character (haven't played Skyrim since GTA V) will actually be positioned on one of the towers above Helgen.

After doing a recent test of this, I think Hadvor is just as good of a selection as Ralof. I don't think the loss of Alvor is that big of a deal. Choosing Hadvor also lets you get through Helgan faster, as you don't have to wait for Ralof to kill the Imperial guards.

Tried this doing an alternate type start in Markarth where my character was poor and trying to survive day to day. I had to scrap it because the face came out terrible (Why did Beth have to make Bretons a PITA to create). It had good promise though and I will try a different one later or possibly tommorrow.

The Gold bag in the room with the bear. That amount will get you to any city that requires 20 gold. I had gotten 33 and was at 55 when I left Helgan.

I keep a few level 1 saves at different locations for this purpose. I have five of them in different places. There is one in Solitude, one in Falkreath, one in the Alchemist's Shack, one in the Crabber's Shanty and one in the Frostfruit Inn in Rorikstead. They were all created so long ago that all of them seem like brand-new alternate starts now.