Nihilism is Buddhism for depressed white kids...
Nietzsche skirted the line between psudo-Buddhism and Nihilism (which he essentially founded) so equating Nirvana with the Ubermensch is a little unfair, the Buhhdists are more positive and less inclined to accept the lack of value in existence.
Nietzsche would be rather offended by the assertion that he founded Nihilism, especially where today most people attribute the phrase to moral (there is no right or wrong) or existential (life has no purpose or meaning) nihilism. Much, if not most, of
Thus Spoke Zarathustra and
On Truth and Lies in a Nonmoral Sense, is spent railing against the concept of basic Nihilism, or simple denial of things. His concern was precisely that increasing ability of science to "kill" or at least reduce interest in religion would result in such a situation, where without such a supersensory being, humans would not be able to easily place the forms of morality and religious purpose, nevermind do so on a format that universal or even popular. That concept was not Nietzsche's innovation, as both Kierkegaard and a number of Russians (the best known being Turgenev, but arguably Dostoyevsky as well).
His concept was the confrontation and elimination of nihilism; the point of the Ubermensch was to find someone that could be confronted with or actively find and reject the concept of no universal truths or values, to make new ones anyway, and then to relay those values to others and even persuade others into accepting those values and truths.
He was both strongly anti-theist in his writings (he may or may not have been agnostic or deist in moderation, but was strongly anti-Christian), so comparing it to Buddhism is... problematic. For a reasonable amount of accuracy, depending on what school of Buddhism you're looking at, the viewpoint ranges from reality itself being an unreal manifestation of an individual's karma that should be eliminated, to the perception of reality being an illusion hiding a true reality, but there is a true reality perceived by Tathagatas. In either case, the interest is less in imposing a reality upon the world as eliminating the illusions (typically presented as desires) presented within the self and on the world (or in other schools, ). Nihilism about refusing the substance of the surrounding world (believed to be illusory) around you while being immutable in self, while the Nietzschian ubermensch is about rejecting erected false concepts and understandings of reality, perceiving reality as real, and yet giving specific values to specific things.
The (older-style) typical Buddhist speaking religiously will look at a chair and a flower, and tell you that they are the same. http://en.wikipedia.org/wiki/Skandhas are what lead to the sensation of mutability (discomfort, a "bad state" in most varieties of the Buddhist religions). The typical epistemological (reality-denying) nihilist will tell you that they can't know what a chair or flower is, while a typical moral nihilist will tell you that there is no intrinsic reason to not to steal the flower, and the typical compositional nihilist (the closest to Buddhism, but with vastly different goals) will tell you that the chair and flower do not exist, merely simply objects shaped as and perceived as a chair and flower, while other varieties focus on telling us that the flower isn't going to mean anything
relevant over its lifespan, or stomp around telling us that the Gods said that flowers were good but they are wrong. The ubermensch is told that the flower is an apple, that the chair is a stool, and convinces you to believe the truth (or even false changes to your pre-existing conceptions). The Buddhist believes this both because he or she believes it to be true and because it will free him or her from a cycle of suffering/discomfort, the nihilist because he or she believes it to be true and finds no moral or religious purpose to it (and may deny that such a thing exists, beyond the possible relevance of truth), while the ubermensch says it whether or not he or she believes it to be true (note that ubermensch can be good or evil), but because people need a moral system.
The ubermensch is a probably not a good idea in the Elder Scrolls world. For starters, the gods do exist, and tell you to sod off if you're a bad person. There's a reasonable pre-existing external morality. Nietzsche believed the ubermensches necessary only because there was none or people believed that there would be none, and/or that the current system is wrong somehow. And while it's easy to alter what everyone believes is the right and wrong thing, even the gods, in Nirn, the results would not be good.
* the above, particularly involving Buddhism, is an approximation; there are a lot of translation and transliteration issues with these concepts, and many are very fragmentary.