I'm going on the definition "being from outer space". Outer space in TES is oblivion, where daedra come from. The daedric realms are "planets" in that space. In addition daedra stands for "not our ancestors", meaning that mortals aren't related to them in any but the most metaphysical fashion of everything being descended from the et'ada.
Yes, that is technically true, though space in TES isnt like space in our universe. As far as I know there is no vacuum, for instance. The Imperials sent mannanouts to the moons at one point. I dont think you can really speak of an outer space.
Vivec talked of a wheel, of wich the Mundus was the hub.
And the Daedra may not be our ancestors, but they are surely our aunts and uncles.
Since the Aedra are our ancestors, and that is the major difference between them and the Daedra.
In such a mystical universe I think the very concept of an alien does not belong. If there were to be one it would somehow be a creature not of Anu and Padomay. And that would be scary indeed.
There exists
the alien in the classical sense, as a term describing something totally unlike us. The Daedra certainly are that. But not in the modern SF sense.