I'm pretty sure Tamriel is a continent. Sort of like Middle Earth, if you're familiar with Tolkien lore. There are other places, such as where the Nords are supposed to have originally hailed from. Again, if you draw the parallel with Tolkien lore, it's similar to Valinor (if my Tolkien lore is acccurate, which it may not since it's been awhile). Valinor is where the elves go when they leave Middle Earth.
So, Tamriel and Middle Earth is where the stories take place, but there are other places that are referred to that supposedly exist. If that makes sense. Keeping with that tradition, I don't think we'll ever really explore anymore outside of Tamriel. Besides, there's lots of Tamriel we haven't seen yet.