There are two issues with this.

Number one is that doing so would need the repositioning of every dynamic element (NPCs, "wait here" objects etc.) and these are spread across countless quests

The second primarily concerns Ishgard in the example. Foundation and The Pillars are not actually adjacent to one another and you don't want to make the players do a really long climb up the stairs.

Given the loading times are not that long, it's not really worth it. When we take Gridania as an example, it could take you longer to traverse the tunnel between the zones than the loading screen takes. Loading corridors are also how 1.0 handled zone transitions, they were never truly without loading screens, it was just an interactive, empty corridor instead.