Baldur's Gate 3 has also done this very well. The build up to finally reaching the city of Baldur's Gate really is worth the in game hype. The city is massive and the entirety of act 3 is spent within it. They use the standard trick of ensuring you can only visit part of the city, with much of the city being inaccessible but visible. That's a great way to make the city feel like it's actually city sized while still ensuring that the part you can explore can be explored in depth (as in, almost every building can be entered and is unique).

As contrasted with the GTA approach where the visitable area is far larger, but you can't enter most buildings and it's more generic.

I think it's pretty hard for an open world game like Skyrim to achieve the way games like BG3 or TW3 do cities, though. After all, Skyrim basically lets you go everywhere, which makes it difficult to fake the size of cities. Skyrim also tries to have not one city but like a dozen cities and towns. I feel like if they wanted to make a realistic city, they'd need to really focus on a small number of cities (probably just one city and a few towns). I'm not sure of the Skyrim scale can really allow for cities as detailed as BG3 or TW3.

Skyrim also has far more in depth NPC, which have routines going all the way from waking up in the morning till they go back to bed. That surely adds scalability issues.

They could do a hybrid approach. Have many unenterable buildings and generic NPCs. But I'm not sure that's a good idea. That'd make things look bigger, but it wouldn't really be that much more content and it'd kinda waste our time in traveling to the good stuff. Or they could scale things down. They don't actually need to span an entire province. They could have focused entirely on one city and surrounding area. But it does come at the cost of more limited lore options and a less varied map.

Personally, I like the Skyrim cities. They're flawed, but very fun. Not a lot of games have the level of NPC detail that Skyrim has and none of them have the kind of massive, open world that Skyrim and Fallout have (I'd love more games like those).