Ultima Underworld: The Stygian Abyss is a far superior game to either Ultima VII or Skyrim --- and would have been better yet if it hadn't been shoehorned into the Ultima setting.
Absolutely, UU1 is one of the most unique and original games I've ever played. It still puts many modern games to shame and was so ahead of its time. Just to imagine that it was released in the same year as Wolf3D... all the details, the living, reacting world, spell system, exploration, the perfect map system, and the fascinating storytelling: This game told its story not with cutscenes and long dialogues but with the design of the gameworld itself, you could "read" the story of the lost dream of Cabirus, his fallen multicultural utopia in the ruins you explored and the ragged people and creatures you encountered. That was the most astonishing part of this game for me. Everything just made sense and felt real.
But you are right and I have the same feelings: They shouldn't even mention Ultima or any connection to it. It's not even necessary to have a story prior to being thrown into the abyss and the Avatar-connection feels total out of place. I just ignored it.