Well, seeing as Oblivion is the only Elder Scrolls game I've played so far (and even then I'm not that far into it) then I'd be biased to make one like that, lol. But you could always make up your own country/whatever.
Have you noticed how much they mention Skyrim in Oblivion? A LOT. They're not the same place, are they? If not, then they must be right next to each other, 'cause Skyrim is on Oblivion's map. EDIT: Oh lookey dar, I managed to answer that for myself. It seems to be an "uh duh, herp derp" question once you get a full view of the map (and know the names of some of the locations in the other games, lol)
As for everyone spreading too far away from each other . . . you could either require that they not stray too far away, or make many events to bring them together. Either way, I think people would stay together anyways, at least most of the time. But, yes, multiple GMs would likely be required.
@The Warden - No, it's not just you, lol. I waste a lot of time staring at the screen with nothing happening. :P
Have you seen her, the woman in black? - I think I wants to see that, lol.
Oh, and yes Samartha Melon, I am a bad luck charm. HEAR ME RAWR!! >:U