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They are indeed underground, but in a cavern that you may not see the entrance to immediately. For example, there are several of these in the early areas around Dun Morogh by where you get Shimmerweed from the Troll Seers. I haven't done much research on it yet, and since you can't see what's above ground once you're inside the caves, it's mostly guesswork. However if you recall, there are many caverns around the area (Grizzled Den, Frostmane Hold) and one of those could easily have areas that run under some familiar places.
Either that, or it's like the animals stuck in rocks and trees and they're just bugged. I don't think so, but it's possible.
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