I'm studying law in my country, so I'm at least sure about my country's law.
Copyright is an automatic right which is granted immediately as you create something. Not everything gets copyright though. It needs to raise a certain "value" worth protecting, which can only be confirmed in a court. If you alter a work of someone else's copyrighted work, your work can be protected by copyright if what you've altered has turned into a work that is "new and independent". However, if Bethesda has explicitly stated in their contracts that someone other than themselves and distributors can't make money out of the game in any way, then that applies instead of course. This would go for mods and everything.
Legally, it would be interesting to see if Bethesda's contract contains this.
Hell, I'm not a lawyer or anything, but I remember reading somewhere that Bethesda effectively owns all the mods made for it's games. In any case, it's unlikely to be an issue any time soon, as consoles won't be getting mods this generation at least.