In an interview Todd mentions that you we're caught coming over the border, and that's why you're in jail. Seems odd, but that's what he said.
Yup, old news. I guess this slims our origins down to High Rock, Hammerfell, Cyrodiil, and Morrowind. It's up for us to decide what we were doing in one of these provinces and why we crossed the border.
P.S. My [censored] kinda looks like a spear, though.
What is this I don't even...
there's a civil war going on. you probably got picked up by some random company out in the Frozen Wastes? who figured they'd just kill you. i'm somewhat doubtful you're in a city prison, since they've said the first town you arrive at is Riverwood and that's pretty deep into the mountains away from any major cities.
Check out http://www.gamesas.com/index.php?/topic/1191640-where-we-might-start-off-in-the-beginning-of-skyrim/page__p__17701807#entry17701807. It's all about where the games starts. Pretty off topic here.