Bethesda is known for creating scenarios where the player is left clueless and able to formulate their own story for the game.
It was stated by a few of the game directors for all the Elder Scrolls games since Morrowind that the reason the player starts in a prison every time is not for "tradition" but because it is the first piece of the story you as the player write for your character.
You immediately think, subconsciously even, I was wronged to be put in prison (i'm a good guy) or how the bleep did I get caught (bad guy).
The 3 you see in the cinematic are representative not just of the 3 classic archetypes (warrior, thief and mage) which a player will instantly feel connected too, but it also shows that there are 3 factions, fighting for the throne.
Why no name? So that the factions they belong to are still hidden to the person watching.
Nords are from Ebonheart though, right? But they can also be on any faction they choose to fight for.
See how even what you thought was literal and faction based is left up to the viewer to interpret?
That being said, the videos themselves are part of a small webseries that will help to explain why the Daedra are in the city, what's stopping them, and how we are going to get in.