I'm not really sure that's the case. I wouldn't be at all surprised if they had it (or something like it) in mind when they were making Oblivion, but I really don't think they intended to tie things together like this before that. The way they're doing it seems more than a little clumsy (inventing a prophecy that retroactively includes what happened in the last four games despite not being mentioned in any of them).
Yeah, that's pretty much EXACTLY what I said in the post before the one you replied to. When I said they had Skyrim in mind, I mean they had a game where the plot would be related to dragons in mind. The story was prob fleshed out later.