Not that I know of. Generally the "gods" in the Imperial pantheon tend to look either elvish or human in appearance (according to the mortal produced art that we've seen.) Though it's important to remember- as is the case with the Daedra Lords- in all liklihood they can probably take whatever form they wish.
His avatars on Tamriel have typically been either Imperial (Wulf) or Nordic (Wulfharth). Tiber Septim's (who could be argued to be another avatar) racial background is debatable, I think, but possibly he was Nordic to begin with (pre "Tiber Septim" name being Hjalti Early-Beard,) though other references claim he was from other places.
It might not be too much of a stretch to assume that if Lorkhan was- himself- to take a form, he would in all likelihood take the appearance of a human.
Isnt he supposed to look something like this? (or is this just his symbol or something?)
That's a Dwemeri scarab. The scarab was supposed to represent something something blah blah that was, in effect, kind of the closest thing the Dwemer had to representing a concept like CHIM. sort of kind of a symbol of unfolding the mystery of life, the universe and everything (42) which the Dwemer attempted to do by tapping Lorkhan's heart.
In other words, no.