Worldspaces and locations don't have much to do with each other.
For the cities, I don't think this has changed from TES IV. There are two copies of the city, a low-res one seen from outside, and the normal resolution one you see when you're inside. They are separate universes, and you travel between them when you enter the gate. Interior cells work like that, too. They're not part of any worldspace, but are simpler because you can't see into them from outside, so they don't need any low-res copy.
Locations are a hierarchy of places. The holds are part of Tamriel, the cities and other towns are part of their respective holds, then houses are part of the cities, etc. So an individual house in Falkreath is also in Falkreath Hold, and also in Tamriel. The interior of a house is in the location of the house, but in another worldspace from the house. The walled cities are in the location of the city, but are separate worldspaces. The stables outside are in the city location, and nearby farms may be, too.
The purpose of location is to make the Radiant quest system work properly. Usually a quest selects a Hold location, and maybe a city or dungeon in that Hold (itself a smaller location) and then it can select the boss bandit, or shopkeeper, or whatever it needs for the quest.
Exterior cells are just squares of the map grids on which everything is placed. Each worldspace has its own grid and the larger ones occupy multiple cells. Interiors are small enough to be treated as a single cell. The exterior cells usually use a common grid, so they can appear at a consistent location on the world map. However, as in Solstheim, they can have a separate map, and an independent grid. Some worldspaces, such as Dayspring Canyon, or Skuldhavn, appear as a single point on the world map, and Sovngard isn't on the map at all. Those can also use independent grids.