I get what you're saying, but eliminating loading screens in a game like this just isn't feasible.
NMS or Elite Dangerous style space travel might be, but then it would have a similarly cartoonist reduced scale. I wouldn't mind that personally, but I get why they didn't do it.
My primary complaint is that the cities themselves are split up into multiple zones. If Skyrim can be entirely open, so to should Jameison.