Yet Fallout New Vegas did exactly that. It had depth to it that Skyrim could just as easily have mimicked.
Not really the best example, since New Vegas was developed by a Obsidian, who didn't have to develop the engine, and had much easier and simplistic mechanics and smaller world, which decreased their budget and timeframe tremendously.
For Skyrim, on the other hand, Bethesda had to build the engine, make the (more massive) map, populate it with basic (much more) towns and (much more) characters, wrote a (more extensive) main campaign... and then they probably ran out of time and/or money because you can't have everything.
Could Skyrim have easily mimicked them? Yes, if they sacrificed other things they promised. I'm not saying Skyrim is better than New Vegas. I'm saying that Skyrim's focus was the massive world and the new engine, which comes at a price. Whereas New Vegas didn't have to worry about most of the issues Skyrim worried about, since they could focus almost exclusively on the story and characters.
New Vegas is actually a perfect example of the point I was making. That you can get a decent storyline if you focus on that exclusively, but you don't have to develop a new engine. Which is what NV did. You can get an awesome new engine, but don't expect the best graphics and storyline and gameplay if you don't have valve backing you for 10 years straight.
Besides, New Vegas was great and all, but I stopped playing it after 20 hours because I was tired of waiting 52 seconds for each transition. Yes I timed it. Yes on xbox. So if I wanted to switch companions, I would have to fast travel to New Vegas, go into new vegas, go into the casino, take the elevator up to my apartment, switch companions, go back down, exit the casino, fast travel to where I was and continue my mission. It would take me 8 - 10 minutes. And that's assuming my companion doesn't disappear when I go through a doorway, or that an overpowered enemy would spawn and kill me all the time and I have no way of getting out, or that I don't have to restart the entire game because a main quest mission won't start.
With Skyrim I'd get bored, but come back, even now, and play it some more, exploring all the different parts of the world. With New Vegas I got excited, then I played the game and got so frustrated I chucked the thing into the bin because it's broken.