I don't know if anyone else has done this, but I'm claiming my stake as the first. I have climbed the Throat of the World from Dragonsreach, up the North by Northwest face, to the very tip top (highest elevation in the game). The only time I stepped on the road was when I crossed it at High Hrothgar to continue my trek through uncharted rugged mountain terrain. It took nearly an hour and was entirely pointless, but totally worth it.