Those were cut because of the engine used in Oblivion, although why they removed climbing from Morrowind I do not know, and how they removed the interior of the cities from the main map. If you use a flying mod, or simply no-clip, and go over a major town you will see only a crude outline of the buildings, nothing more. Even if you "land" within the area you will simply see the unfinished modules - not the true interior.