For example...Whiterun is a Walled Town,so,If I want to enter there riding a dragon,I won't have to face a looooong loading screen?or not at all?Is it possible to the dragon land there?
The reason the towns are walled and require a loading screen is because inside the walls they aren't actually there beyond a couple of low detail buildings and textures.
They are actually inside a separate worldspace, hence the loading screen.