I don't mean that they would be constantly loaded all the time, I mean there would be no loading screen to enter them just like how there is no loading screen when you are moving from one cell to another in the outside world in Oblivion.
E.g. exactly like how Oblivion works when you're outside. I definitely expect this, and also hope they could manage to have a bit larger area loaded at the same time and vastly improve the distant lod rendering too.
It would still load stuff in a sense but it would start to happen when you were nearing the cell, not through a loading screen. I'm not sure why I said everything loaded in one cell, I don't believe that.
Not sure, but since this is how Oblivion already works for exterior cells (except closed cities), I fully expect it to work that way in Skyrim too.
As for interior cells, it could be possible to start loading an interior cell (but not start rendering it) when you get close to a door. That way, the loading screen could be minimized and maybe even skipped in many cases (but maybe not in a city when there's lot of doors if you move to fast).
But yeah I may be wrong, but even then PCs could (and easily do so with Oblivion with the Nehrim mod) have the entire outside world loaded with no loading screens between cells, Skyrim could easily do that if it was PC only but unfortunately we will most likely have cities in their own separate cells again.
Dunno. I was under the impression that cities would be open in Skyrim. Personally, having a loading screen to enter/exit a city doesn't bother me or break my immersion - I just imagine that it actually takes some time for the city guards to let me through.