Umm. Those other games weren't supposed to have loading screens either in the open world. If you got them that's usually an indication that your hardware was operating too slowly.
in fact, even if your hardware wasn't very good, you woulnf't actually get a loading screen, the game would just take a moment to load, loading screens only occurred when fast traveling or when traveling through loading doors, like into interior locations or some exteriors that are on different worldspaces from the rest of the world, like Freeside and the Strip. This isn't to say that the game didn't have to load new cells when you're exploring exterior areas, of course, just that the loading screen only comes up when making transitions through loading doors, which doesn't seem like a bad design as it would be rather distracting if the loading screen came up regularly while you're exploring the wasteland.
But in any case, since Fallout: New Vegas uses the same engine as Fallout 3 and Oblivion, I'd assume that cells are handled the same way. And I don't even seem to recall the game ever pausing and giving me a "loading" message in Fallout 3, now, there was sometimes stuttering and poor framerate, but that can happen even when you're not loading a new cell. So I'd guess that the version of the engine used in Fallout 3 and New Vegas might be more efficient at loading data for interior cells than the earlier version from Oblivion.