The land outside the borders is other provinces...
I know some of it is. But I think there's quite a bit, especially south of the Throat of the World that we just can't get to.
Has Bethesda ever done a DLC where they went to another province? I know in Oblivion they didn't and in Morrowind (never played it much) I'm pretty sure Bloodmoon was just a separate island. I doubt they'd add Hammerfell or Morrrowind to the game in the form of DLC but I could be wrong.