I just thought about something. At the start of the game you are going to be executed for trying to cross the border. Seems a bit drastic.

Were you supposed to have a Passport? Official papers saying that you are allowed to cross the border?

Skyrim is full of different characters who travelled to Skyrim from other lands. Belethor in Whiterun is a Breton from High Rock. Arcadia is an Imperial from Cyrodill. There are Khajit roaming everywhere.

How did they all get to cross the border safely? The only thing I can think of is that you have to stay to the roads and cross at official checkpoints or specific designated crossings. Wandering over Mountains means you get your head cut off apparently! lol

Actually, you're executed because you're in the wrong place at the wrong time. You were found with a bunch of Stormcloaks, Ulfirc's personal guard, even!

This, you weren't supposed to be executed because you were on the border.

Probably not literally a Passport, but probably some kind of 'papers'.

If you notice Whiterun (I think), Windhelm (I think), College of Winterhold, Riften, and the Orc Strongholds are locked down until you meet requirements.