After nearly six hundred hours I've never had a living dragon spawn/attack inside ANY of the "walled" cities, even when I was first fighting it outside the gate. I've had a previously dead one drop out of the sky into Solitude, but that it. Apart from when the same corpse dropped in again three game days later anyway.

Yep, a couple times.
First time was quite early on in the game, and it killed that female orc blacksmith. Luckily her apprentice took over and has been working there ever since.

Yes, a few times.
Its quite a hard fight, as you dont have the geography to your advantage. You have to climb stairs and run around while its swooping and firebreathing.
Was a fun fight.

Ive also had dragons show up in Solitude, but no other walled cities.

Did you use a guide or something?
In Morrowind I was about 100 hours in before I even knew there was a main quest.
I was looking for stuff to do after the fighters and mages guild and remembered that package.
Had to track down the trader I sold it to first.

I've never seen a dragon land inside a city, but only outside the gates, including Markarth. The only time I've seen them land is at villages, atop the roofs, especially at Morthal. What is it about this village that loves dragons? Every time I visit it, there's a blood dragon showing up. Not that I'm complaining, those bones sell well.