What place in the elder scrolls series has they not being a game set like Skyrim or Tamriel

Tamriel is the name of the continent the Elder Scrolls games are set on, all Elder Scrolls games have been set on it, though we know the names of other continents such as Akavir and Atmora.

Tamriel has 9 provinces; Black Marsh, Cyrodiil, Elsweyr, Hammerfell, High Rock, Morrowind, Skyrim, Summerset Isle and Valenwood.

'Arena' let you visit every province in Tamriel.
'Daggerfall' was situated in part of Hammerfell and part of High Rock.
'Morrowind' took place in Morrowind, more accurately in just the central island of Vvardenfel.
'Oblivion' was set in Cyrodiil, the empire's capital city.
'Skyrim' is set in Skyrim.