I completely relate to the OP with smells associated with certain memories. I had a similar experience with the smell of Cucumber melon and Harry Potter and the Chamber of Secrets video game. Like the OP I got both for Christmas one year and the two are forever linked in my memory. However, I don't really think that "creating" a scent associated memory would work exactly the same as you would be making the association on purpose rather than by circumstance like the moment you first described.
Although, if you want to create a scent which you believe would help to immerse yourself in Skyrim then I say go for it. I actually find it very enjoyable to create these scent associated memories and try to capture that permanently. In fact, I make my own perfume and ritual oils and I have already come up with scents which I think you would run into in various places in Tamriel. And before anyone says I am crazy/ obsessed know that I came up with the scent before the association.
For example the Northern Knight oil which includes several types of pine, juniper, sandalwood, leather, cypress, ambergris, black musk and mint. This, to me, is a combination of scents you would probably encounter in Skyrim. Coincidentally, it is also one that my boyfriend loves to wear so... it is already a scent I personally associate with a lot of memories. So something like that, you could wear/ burn while playing, but again, it is a scent you would purposely be creating an association with, but I don't really think there is anything wrong with that.