I don't have near the resources to make an entire city :/
There's a program available for download on the Lego website called Digital Designer you might wanna check out. It may not have the same appeal as a bin full of physical Lego blocks, but the possibilities are pretty much endless.
As for a location, as others have said, Bleak Falls Barrow would be cool to see, as would Markarth and Whiterun

Even Riften would be pretty cool to see in Lego form.