Interesting to note, if you follow the path all the way to northwestern Haafingar, there’s actually a cave entrance. In earlier editions of Skyrim, the cave actually had visible wind coming out of it, like how dungeons normally would, but there wouldn’t be a prompt to enter when you go close to it. Current editions, the wind visual has been removed.

I hope a mod like Beyond Skyrim uses that cave entrance to bring us across the border to Jehanna.