In case you haven't noticed, the only truly Imperial city is the Imperial City, which is actually very Roman in its design. The other cities draw inspiration from neighboring provinces(Bruma-Skyrim, Chedinhal-Morrowind, Leyawiin-Black Marsh/Elsweyr, etc.). The Imperials are still very Romanesque. The Imperials still follow a very Roman design with some Medieval European influences(were in Arena/Daggerfall, so why so much of a surprise when those Medieval European influences influence cities not purely Imperial in their design and structure?). Take a look athttp://www.uesp.net/wiki/Morrowind:Caldera Oblivion didn't change everything to Medieval European happy time.
Not really too far off from what an Imperial Roman town would look like in a far away province.
Most Roman villages started out as Imperial forts, then some homes and shops were built from local materials. The carved Parian marble columns and statues would be shipped from Italy or nearby and, therefore, reserved for more extravagant buildings like governor's palaces and bath houses. Vvardenfell isn't really the type of place for that sort of thing.
So why the similarities to medieval European architecture?
Well, guess what empire was the predecessor to medieval European culture? Yup.
Besides, architecture and culture don't always line up in the Elderscrolls. We can see a mix from cultures all over the world when we look at Dunmer architecture.
In this http://www.uesp.net/wiki/File:MW-Places-GrandCouncil.jpg you can see a mix of architectural styles. The arrow slits on the towers are certainly a medieval innovation, but the bridge, supported by fornices, and the doorway, and the columns are very Roman. The turreted walls have been around since before the Romans.
EDIT: by the way, here's on old http://www.google.com/imgres?imgurl=http://upload.wikimedia.org/wikipedia/commons/2/24/Arbeia_Roman_Fort_reconstructed_gateway.jpg&imgrefurl=http://commons.wikimedia.org/wiki/File:Arbeia_Roman_Fort_reconstructed_gateway.jpg&usg=__lUl1BSdSQiMJmyh6uirJKTX7NTM=&h=960&w=1280&sz=573&hl=en&start=9&um=1&itbs=1&tbnid=SPZz3CZ2YM18kM:&tbnh=113&tbnw=150&prev=/images%3Fq%3Droman%2Bfort%26um%3D1%26hl%3Den%26safe%3Doff%26client%3Dsafari%26sa%3DN%26rls%3Den%26tbs%3Disch:1.
See what I mean? Built from local stones; not marble. Very simple in design. Fort builders in the Middle Ages simply adopted Roman building principles. The only architecture style that is purely medieval is the Gothic style of the chapels you see in Oblivion. So out of sync with the Roman-style wayshrines. I would have really loved to have seen some beautiful classical-style temples in Cyrodil.
EDIT AGAIN: In fact, just google "Roman fort" and look at the images.