Only time I saw that was in Solitude yes, but it spawned in the city itself.
How does it get into the city worldspace from the Skyrim worldspace... Does it use the city gate?

Well it looks to me like you haven't posted much or been a member long and WELCOME But you must not have searched alot or looked at to many threads on here. I have read numerous posts since release about people being attacked by dragons inside city walls. This really is nothing new.