"Conventional teachings of the Tribunal Temple hold that the Tribunal were 'mortal guardians of Morrowind who walked the earth, defeated the Dunmer's greatest enemies, the Nords and the Dwarves, and achieved divine substance through superhuman discipline and virtue and supernatural wisdom and insight. Like loving ancestors, they guard and counsel their followers'." http://www.uesp.net/wiki/Lore:Vehk
Even Elsweyr with its Moonsugar plantations, vast deserts, and fertile oasis, would have been a prefered locale to Skyrim, where the climate is as cold as the hearts of it's war-obsessed people. "A vast ocean two feet deep" might as well describe their reverence for materialism and battle prowess, and complete abandonment of the matters of the mind.
How could any self-respecting sophist ever live there?
I just can't get behind the Nords, or the Dwarves for that matter. Everything they do seems against everything I value. If I had to describe them in one word, it would be: RUDE! Rude, crude, lewd, and subdued, and how they overcompensate... It's offensive!
Nothing is sacred to a Nord, except, it seems, himself!
TES: Redguard was on some islands; TES: Daggerfall didn't cover up the whole province; TES: Battlespire did take place in its own realm; TES: Shivering Isles (I know it's an addon) neither takes place in a province
So (future and past) TES don't have to be restricted to an imperial province.