Yeah, that happens a lot when you fast travel into towns.

Over 300 hours of playing, and still no dragon in a city ... I'll have to start fast traveling if I ever want to see one I guess ...

Got attacked by one inside Riften and thought it was a glitch because I'd never seen one a dragon in town interiors before! Was pretty cool though cos I'd just recently bought a house there, and as I rushed to defend the townsfolk from the beast it was like: "hey, not on my turf!"

Be careful what you wish for.

In my experience dragons just love to attack poor riverwood, ive battled at least 15 in riverwood across all playthroughs.
They CAN attacks walled cities although extremely rare, for me 1 has attacked markath and 1 attacked windhelm the very first time I entered it which was a bit of a shock.