Unofficial Skyrim Special Edition Patch

It's a general game engine bug. Windhelm and Solitude appear to be the most likely to be affected because of how far their terrain meshes float over the underlying landscape. For reasons unknown a game update along the way did something to the priority loading of meshes, terrain, and NPCs that now has a chance for them to spawn under the city meshes. Assuming they don't die from a fall they will correct their positioning once everything loads.

We added a failsafe trigger in Solitude under the ground in the places most likely to have an issue and that seems to have solved it for the most part there because of how we positioned it to load where you're most likely to walk up to it.

Sounds like we may need to add one in Windhelm too.

I had Nilsine Shatter-Shield and Angrenor Once-Honored die in the same way in Windhelm months back on my current save. Also, in Solitude, Silana Petreia seems to die relatively easily despite the fix that was put in place. It seems that there's only so much that can be done, although less NPCs seem to die in Solitude now than in the past prior to the fix. Somehow Fralia Gray-Mine died in a similar way in Whiterun very early on breaking the quest with her sons. This engine bug seems to be able to bypass the protected and maybe essential flags in some cases, possibly because the NPCs somehow get trapped underneath the playable area.

Essential and protected ones should survive the fall, they'll just be stuck below the playable area until you leave the city. Which is still problematic but as you say there's not much we can do about it except report it to the devs.