It's (probably) not their original creation, but there is http://imperial-library.info/content/16-accords-madness-v-vi mentioning how Hircine created one by summoning an ancient Daedroth and giving it the disease, to fight against Sheogorath:
Confident, but knowing Sheogorath for a trickster, Hircine secretly bred an abomination in his hidden realm. An ancient Daedroth he summoned, and imbued it with the foul curse of lycanthropy. Of pitch heart and jagged fang, the unspeakable horror had no peer, even among the great hunters of Hircine's sphere.
The original werewolves on Nirn, however, seemed to have existed http://imperial-library.info/content/totems-hircine:
Among those of us to whom Lord Hircine bestowed his most precious gift of Lycanthropy, there are legends that he also set into the world specific artifacts of his power. They date to a period when men could neither write, nor speak, nor barely think, but the powers of blood of the beast were yet flowing strong among the selected.