Muthsera,
Although I am loathe to disagree with one of such esteem as Nalion, I would humbly proffer that Mehrunes The Mighty did, in fact, known of Martin's existence and relationship to Uriel Septim. I say this for the following reasons:
First, and although it seems to contradict the ability of heroes (such as the hero of Battlespire) to thwart his plans, Mehrunes Dagon, like the other Daedric Princes, is both omnipotent and omniscient. I come to this point due to http://www.imperial-library.info/mwbooks/marobar.shtml#11. Irregardless of the Tale's factual basis, it is the commentary of Ted Peterson, a major offical lore contributor (praise be to Tedders-Who-Is-Sheogorath!). Herein lies the quote from http://www.imperial-library.info/book_daedra/index.shtml#azura:
The book "Azura and the Box" tells of how Azura was tricked by a Dwemer in simple test of "what is in the box?" Being a goddess she knew exactly that there was flower with red petals inside the box; but when the box was opened, there was nothing inside. Azura was furious and according to some this triggered her hatred toward the race.
Here's what Ted "Tedders" Peterson has to say about this text:
"The tale may not have even happened, but if it did, here are the salient points:
1.Azura was right
2.She thought she was wrong
To the Dwemer, this meant that though the Daedra were omnipotent and omniscient, they had doubts. There was a crack in their armor. There exists a possibility, even slight, even infinitesimally small, that they can be wrong.
This is extreme heresy."
This, I believe, answers our question. Yes, Dagon knew of Martin and his Septim lineage, but just like Azura, he had doubts, which could lead him to be wrong.
I hope that this helps, for I remain...
Yours in the Scrolls,
___The Word Merchant of Julianos