Any town with a wall around it in Oblivion is instanced.

Also, you have correctly recognized Morrowind’s superiority. I highly recommend the Tamriel Rebuilt mod that adds a lot of the land mass of the rest of the province outside of the island of Vvardenfell!

A lot of the towns are still a part of the open world, but some of them are separated by loading screens.

TF2 and Dishonored accomplished this by having all the other level data loaded in memory simultaneously all as part of the same map. The instant transitions are accomplished by teleporting the player to another part of the map that is already in memory.

This is not the same trick R&C pulled, and it has far more limitations. For example, TF2’s Effect and Cause necessitates a smaller overall map than the other missions because they had to fit two different versions of the same map in memory all at once. If they wanted to let you transition between three different time periods, they would have had to make it even smaller to fit in the same memory budget.

Ratchet & Clank’s approach has no such limitations. They could let you switch between 8 different time periods and not worry about having to fit all of them in memory at once.

Even on systems with significant memory, a slow drive will create lag in RC. Moreover, RC is doing this while also having very high graphical fidelity overall, including ray tracing, which is quite memory intensive. It's not possible without Direct storage and reasonably fast SSDs.