It was half in High Rock and half in Hammerfell. There were dozens of little kingdoms and principalities, almost all loyal to the Empire, and Daggerfall city was the capital of Daggerfall kingdom, but that was only a few percent of the total map area.
For some reason I recalled that whole starting region in Daggerfall being called Daggerfall. I must be misremembering the map.
It was half in High Rock and half in Hammerfell. There were dozens of little kingdoms and principalities, almost all loyal to the Empire, and Daggerfall city was the capital of Daggerfall kingdom, but that was only a few percent of the total map area.