You started on a boat in MW (and it didn't even look like a prison ship either. No cells or anything)
This is getting stale...yes, you were on a boat. And once you advance enough in the main quest, Caius Cosades gives you the "http://www.uesp.net/wiki/Morrowind:Decoded_package" explaining the Emperor's plan. Note this line from said package:
%PCName has been released from prison by his Majesty's authority and sent to you with this missive. %PCName is to be entered as a Novice in the Imperial Order of the Blades, and is to serve under your absolute authority as you shall see fit, except insofar as his Majesty's particular wishes are concerned.
Note the large, bold text? There it is in canon lore: Your character begins the game by being released
from prison. That's how you get on the boat, where you're
still a prisoner. Notice what the guards call you while ushering you off at Seyda Neen?