Windhelm has one, right next to the workbench.

Winterhold has one somewhat near the town, not too far south along a usually deserted road at Whistling Mine.
Of the others you list, you are correct none of them has a smelter in what I would consider "close" range of the city/town. Falkreath Hold is the worst as you have to go all the way up north to Bilegulch Mine to find one. You're practically in The Reach at that point as it's right on the border for the hold. Being a serious miner is about the only time I can see getting lots and lots of stamina, heh.