What do you mean "tied down to Nirn"? Where else are they going to go? Jode & Jone?
And yes, you're right, the whole population would be pissed at the Dovahkiin for befriending a baby dragon. And it'd be out of place for a baby dragon to befriend the Dovahkiin. But perhaps it wouldn't know who the Dovahkiin was. Then again, if you had it for a pet and began killing other dragons right in front of it, it'd probably either fly away or attack you. Then again, TES games are about playing who you want to play, as Todd put it. I could make a logical reasoning for adopting a dragonling as a loving pet. That's the beauty of roleplaying.
http://www.uesp.net/wiki/Lore:The_Monomyth
http://www.uesp.net/wiki/Lore:Mundus
Lots of reading...but its pretty interesting stuff.
Basically...Lorkhan got the other spirits, some say he tricked them while others say he just convinced them to help...point of view thing, to help make Mundas, which is Nirn plus the moons and "stars" that we see. Once the plane was made, he was split in two and separated, in some stories as punishment and in others it was his choice.
At any rate, one spirit called Magnus became discusted with how Mundas was turning out, and left leaving an especially large hole that we see as the sun. When he left, that's when many of the other spirits noticed they were losing power. Some of the spirits realized they were losing power and flead, ripping holes in the sky that we see as stars. Others, weaker, couldn't run and either by choice or through their death, once again interpretation, started to form things in the mortal plane. The Earthbones, or the laws of nature. Other even weaker spirits are thought to have became dragons, which called Akavir home.
Weaker still were the spirits who, after giving life to Nirn, found themselves extremely weak to the point where they themselves were near mortal. After a few generations, they became the elves. Other spirits became man, and well...the rest is history?
So anyway, the Dragons...possibly the spirits who were juuuust quite not strong enough to run away like the other spirits who made the stars, still want to get away. Alduin, the god of time, is gonna make that happen too. He's time, so while some think of him as a god for helping start life...other's look at the tail end of what's coming because of him, because with all things like time...if there's a beginning there is gonna be an end. Since Aldiun started time, he's gonna end it too. With the end of Nirn, the spirits who got caught here can leave and go back to where ever they came from...which I think is called The Gray.
Now...that's how far my interpretation of Lore gets. Anyone can step in and correct me...but I'm pretty sure I got it straight.