Couldn't help but notice that Hadvar and a couple others seem to think that you (the main character) are from Cyrodiil.

Is this because of the character you chose for your first game ever when you installed the Game Data? (Game Data Utility) Unlikely, since the character creation comes after the Game Data installation...

It would be neat if the NPCs dialogue was contextually based upon what race you were (which province you're from). We're not all from Cyrodiil! (although I have made a couple Imperials )

Some games I know have scripts(?) or code that does allow for the alteration of dialogue based upon changes in the game. MGS1/2/3 are good examples. I loved calling Nastasha, Otacon, Pliskin, Sigint, and Para-Medic for the fun/hilarious dialogue.

No, we hear the same dialogue no matter what race we choose for our characters. No one knows where our characters come form. Ralof may simply be repeating a rumor he overheard at some point.

Well there are some lines based on you race I think,, like when in Windhelm as an Imperial, the gaurds tell you:
"Watch yourself, Imperial !"

You're right about that. I was focusing my comments mostly on the first sentence of the OP.

All of you playing the game with ears and eyes closed...impressive!

http://www.uesp.net/wiki/Skyrim:Argonian "Next, the lizard!" http://www.uesp.net/wiki/Skyrim:Breton "Next, the Breton!" http://www.uesp.net/wiki/Skyrim:Dark_Elf "Next, the dark elf!" http://www.uesp.net/wiki/Skyrim:High_Elf "Next, the high elf!" http://www.uesp.net/wiki/Skyrim:Imperial "Next, the renegade from http://www.uesp.net/wiki/Lore:Cyrodiil!" http://www.uesp.net/wiki/Skyrim:Khajiit "Next, the cat!" http://www.uesp.net/wiki/Skyrim:Nord "Next, the Nord in the rags!" http://www.uesp.net/wiki/Skyrim:Orc "Next, the Orc!" http://www.uesp.net/wiki/Skyrim:Redguard "Next, the Redguard!" http://www.uesp.net/wiki/Skyrim:Wood_Elf "Next, the wood elf!"

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http://www.uesp.net/wiki/Skyrim:Altmer You're not with the http://www.uesp.net/wiki/Skyrim:Thalmor_Embassy, are you high elf? No, that can't be right...

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Summerset_Isle.

http://www.uesp.net/wiki/Skyrim:Argonian

Are you a relative of one of the http://www.uesp.net/wiki/Skyrim:Riften dock workers, Argonian?

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Black_Marsh.

http://www.uesp.net/wiki/Skyrim:Bosmer Not many wood elves would choose to come alone to Skyrim.

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Valenwood.

http://www.uesp.net/wiki/Skyrim:Breton You from http://www.uesp.net/wiki/Lore:Daggerfall, Breton? Fleeing from some court intrigue?

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:High_Rock.

http://www.uesp.net/wiki/Skyrim:Dunmer Another refugee? Gods really have abandoned your people, dark elf.

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Morrowind.

http://www.uesp.net/wiki/Skyrim:Imperial You're a long way from the http://www.uesp.net/wiki/Lore:Imperial_City. What're you doing in Skyrim?

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Cyrodiil.

http://www.uesp.net/wiki/Skyrim:Khajiit You with one of the trade caravans, Khajiit? Your kind always seems to find trouble.

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Elsweyr.

http://www.uesp.net/wiki/Skyrim:Nord You picked a bad time to come home to Skyrim, kinsman.

I'm sorry. At least you'll die here, in your homeland.

http://www.uesp.net/wiki/Skyrim:Orc You from one of the http://www.uesp.net/wiki/Skyrim:Orc_Strongholds, Orc? How did you end up here?

I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Orsinium.

http://www.uesp.net/wiki/Skyrim:Redguard What're you doing here, Redguard? You a sellsword? A http://www.uesp.net/wiki/Lore:Cyrus from http://www.uesp.net/wiki/Lore:Stros_M%27Kai? I'm sorry. We'll make sure your remains are returned to http://www.uesp.net/wiki/Lore:Hammerfell.

I only play as a Bosmer, and the game is quite aware.

As Synthoras outlines above, the chopping block sequence includes lines like:

Hadvar: "Not many wood elves would choose to come to Skyrim alone. What should we do with her, Captain?"

Imperial Captain: "She goes to the block."

Hadvar: "I'm sorry. I'll see that your remains are returned to Valenwood."

After the tutorial, she gets plenty of comments like:

"What do you want, little elf?"

"Speak, elf!"

You were caught trying to cross the Cyrodiil / Skyrim border. It's fair for the NPCs to assume in some dialogues that you're from there.

Essentially this. You're not a native Nord (or whatever other race you choose). I did think it was odd that you're assumed to be from Cyrodiil but in retrospect that's the closest border.

Is it the closest border to where the prisoners were supposedly captured? It seems to me that Morrowind might be closer to Darkwater Crossing, where the ambush took place.