The Skyrim trailer make this seem quite impossible as its hard for me to imagine bethesda adding walls around Makareth (they'd have to wall in the entire edge of the cliff), and the city in the background of the windmill scene didn't look like it had walls.
The worst things about these enourmos giant pieces of [CENSORED] (in my opinion) is that they had guards right at the gates, making it impossible for thieves with bounties to enter cities, making it impossible to play any guilds, or do anything which would take place within a city for people with bounties, I really hope they find some way to allow thieves entrance to cities if walled cities are confirmed, such as hidden entrances like the one in bruma.