Most dungeons could not be done into exterior world. Why? Engine limitations. The world is basically a surface one can lower or rise, but not mold tunnels into nor move sideways. A basic "tower climbing" outdoor dungeon would indeed be possible though, but you can forget the caves. Now why would they not have the cities in the main exterior space? Yes, it takes quite a pile of memory to process them, and also, the engine can handle only so much NPCs without starting to mess the AI, though most probably open cities kind of a mod will be there at some point. Now what about buildings? Simple, Bethesda has yet to solve how not to make it rain inside.