Morrowind simply felt larger then Oblivion because really, the map and navigation just plain sucked in morrowind.
As well as there being mountains in your way, it being twillight/dark like 90% of the time.

Oh yeah and ofcourse that your only means of fast movement were some teleports in the middle of nowhere ruins, recall and that exploit of using the levitate spell at the temple.

Reason why oblivion might feel ''small'' is because realistically you can actually look further into the horizon and everything is made on a more realistic scale. (if its a mountain itll be huge, not just high enough to completely block view xd)

Imo Oblivion was a lot more expansive then morrowind, you actually felt like you traveled when you walked/rode to a place.

Shroud/darkness/crap navigation only conceals how expansive a world is, it doesnt increase it.