After escaping from the Imperial Dungeons, I found myself in Kragenmoor in Morrowind. As you might know, the first quest takes place in Hammerfell so I need to get there. The only problem is, I have no idea how to! My first instinct was to exit the main city and walk, but my map still says Kragenmoor even once outside the gates. How do I get to other provinces? Does fast travel exist?

Right-click on the map icon.

FYI, it's also impossible to go to the different locations on foot. The wilderness outside of each city is isolated from others, and reaching one end of the map just loops you back to the other side.

Oh you can actually get to the end of the local town map? I was sure the land was constantly generated. Adventuring in this wilderness is very cool though. You never know what you might find hidden there. I recently discovered, after having the game for about 3 years, that you can sometimes find rowboats and use them to travel water.