User blog comment:Jimeee/Hearthfire confirmed as the latest add-on. Official trailer./@comment-176.26.231.233-20120919164030/@comment-2141606-20120928044134

I had the same problem, except my home was in the Pale. There should be certain misc objectives and sidequests that you can complete to be offered a position as Thane in each of those three holds. The details should be here.