You can't because the engine is bad, and they need a lot of loading screens to connect the small-sized playable areas. Other Bethesda titles pull the same trick, but you don't realize it, because there's no loading screen. Instead it's doors that handle that (which is quick because rooms are small) and pre-loading of neighbouring grids when you are outdoors (which is why sometimes you'll see creatures popping out of thin air, or walking out from behind walls/trees/rocks to hide the popping.
Bethesda always advertises their "new engine", but really it's exactly the same engine they've been using since Morrowind, with minor logic improvements and updates to the graphical assets. It's to the point where a lot of bugs have ancestry trees.