Levitate spells, that's what helped them probably and they probably carved some of it out of the land around the... I wish I saw more ancient Nord settlements instead of just crypts...
The one thing I feel that is missing from the concept art is the mix of "events" and "open space". Most scripted action and "wow" sequences occur indoors. There's not as much going on outside. Not to say there isn't going on either... that isn't true. Just wish there was more of an outside game. Not even sure I'm articulating it right...
Ive found places very similar to those pictars. They were limited with what they could do visually, that would not look good as LOD imo. Thats why I think the actual game may be underwhelming compared to the art.