SKYRIM
Obvious, from elements 'sky' and 'rim', indicating mountainous country that "rims the sky". I feel it also contains the sense of "cradle of independent human civilization".
HIGH ROCK
Unknown, though perhaps it a reference to the mountainous terrain?
HAMMERFELL
Product of the Dwemeri exodus from Resdayn. The seditious Dwarven chief famously threw his hammer, Volendrung, and where it landed indicated their new homeland.
SUMMURSET ISLES
Unknown, though suspiciously similar to the English 'Somerset', which originally meant "summer settlement". Perhaps a reference to The Dawn?
VALENWOOD
Unknown, though the 'wood' element obviously refers to the the provinces' famously Silvan landscape.
ELSWEYR
From a Khajiiti proverb "The perfect society is found elsewhere".
BLACK MARSH
Exonym referring to it's dangerous and near-impenetrable terrain. Origin of its alternate name, Argonia, is unknown to me however.
MORROWIND
Unknown, though the elements 'morro' and 'wind' provide clues. Morro could be temporal, as in 'next day', or geologic - referring to a rocky outcrop in the shallow waters of a harbor. Wind is most likely a meteorological reference.
CYRODIIL
Unknown, though there are references to an older/truncated form, 'Cyrod', whose origin is likewise unknown. The Odiil family living near Chorrol suggests Colovian origin.