Morrowind and Skyrim are named after provinces. Daggerfall derives its name from a district within a province. Arena doesn't really count, since by the time it had morphed into an RPG marketing was set in stone and couldn't be changed. Oblivion is an odd-man-out, named for an event rather than a locale within the Empire. I personally consider it an apt title for a short term play-through, especially one centered on the Crisis. It also works for a long term play-though while focused on the Crisis, as my current play-through wholeheartedly was at the beginning.
But that was ages ago. At over 2k hours played, the Crisis ended on my incarnation of Nirn over three earth-years ago. The name Oblivion no longer fits.
For some time, I've thought of the game as "Adventures in Post-Crisis Cyrodiil". I also think of its Oblivion phase as "Cryodiil in Crisis", though "Nirn in Crisis" is more apt, since had the opposing forces won the consequences would have affected the whole of the planet.
An aside. I like to think of the first four Elder Scrolls entries as "The Uriel Septim VII Quadrilogy" or more simply "The Uriel Septim Quadrilogy". The late lamented emperor is, after all, the four's unifying character. In Arena we attempt to restore him. In Daggerfall we are his direct agent, and indeed a friend. In "Oblivion" we are his prophesied savior. Morrowind is a bit more nebulous, but we do start out tasked by the Septim Empire under Uriel's leadership.
-Decrepit-