That's one of the few things that bother me about FFXIV zones. They lack those indoor areas in the open world like elaborate caves or temples, but I assume this is because most of them are made as dungeons which are all instanced and then there's the fact that they refuse making seamless open world dungeons after 1.0.

Speaking of 1.0, it actually had a lot of those, although repetitive like the zones in general.