Its rare but it does happen, so far I only know it happens in riften and solitude for me not anywhere else, though I've seen dragons fly over windhelm and whiterun.

Aww, Yes, that happened to me aswell. However Alvor was the only one who died i think. I managed to record it.

http://www.youtube.com/watch?v=tFgJa1z38oU

So a dragon attacks and the shouting is making them nervous?

I never found Alvor's body, but I think they both died during the same attack.

Haha, i know! It's the irony of it all! ^^

I had one in Windhelm once, but that was ages ago. Riverwood, Winterhold and Dawnstar not being walled, get attacked almost everyime I fast travel there, they should just see my character and run for it.

I shouted Slow Time to try to save Margret in Markarth, and 2 seconds later I have a guard telling me "not to do that anymore"... while blood pools at their feet. That's Markarth for you.

Wow. Now that's corruption. I'm surprised they didn't have you sprinkle silver dust in the pool of blood.

I've had quite a few attack Windhelm and Solitude, Winterhold and Falkreath, but no attacks on Markarth or Riften ever, and on earlier patches Riverwood was plagued by them, but none so far with the latest patch.

Never inside a walled city, if you don't count dragons spawning right outside Riften, then flying away to attack the docks.

When I used fast travel more, I had a dragon spawn every single time I left Riften, and every single time I arrived in Falkreath. Occasionally outside Whiterun, Dawnstar and Windhelm, never any of the other cities. Never even Riverwood, which surprises me since that town seems to be infamous for dragon attacks.

Since I practically gave up fast travelling, I've had a couple of dragons outside Whiterun, close to the meadery, but other than that, the random dragons have kept themselves to the wilderness.

The Markath one is a tough fight, as it uses the geography of the city to dissapear from view while youre running up and down stairs.

I've only ever had one attack me in Whiterun and that was very early on when I first got Skyrim. It hasn't happened since.

I had two Dragons appear in Whiterun at the same time, but the second Dragon was allowed inside by a mod. I was lucky it occured with my Dual Wielding character, nobody died.
Why did Bethesda not make Nazeem a target the Dragon could swoop down on and drop
EDIT for clarity.

It has its own "world" in the game, so it's a walled city.

As for the OP, all the walled cities show dragon perches on the main buildings, so the fact an attack is possible does not surprise me. But in 650 hours I've never seen one. I've even been attacked by a dragon outside the gates of Solitude, gone through the gates, and he's gone. Back out, he's waiting for me.

I've had Solitude come under attack twice so far. Was quite a while back.

Windhelm seems to attract them for me. I have had dragons there at least four times that I can think of, Solitude once. But that's it. I actually sat back and watched Windhelm erupt into chaos as the residents tried to battle the beast off while I ate popcorn in a corner. It was really cool... until it ate Niranye...