If the goblins have their own creation myth(or whatever), why can't the dragons which are far more intelligent have theirs? But maybe they are so special that they don't have myth or story or any theories except their own memories?

We know that they at least acknowledge the existence of Bormahu, their version of the Time God, as the father of dragons.

They probably do, we just don't know what it is. Assuming they don't place themselves as gods themselves of course. They have their own name for the Time Dragon, for what its worth.