Makes sense, but still Riften is close to Morrowind. It's possible there's a portion of Dunmer culture there too.
If it is Azura, there is a possibility- a slight possibility, but it's there- that a group of Nords have turned to worship her in appreciation for what she did to the Dunmer.
While the Nerevarine certainly made things better in the very short term for Morrowind (and much, much better in the Long Term for Tamriel), the... LATER ramifications of that prophecy led to the destruction and devastation of Morrowind, and the pariahship of the Dunmeri people, who have historically been one of the Nord's enemies.