Shiva is called the Destroyer because he is the destroyer of evil. He is, in truth, regarded as the lord of compassion and mercy and purges his worshipers of evil sins such as lust, greed, and anger. He is not evil himself - quite the contrary.
Mehrunes Dagon, however, is widely regarded as an evil Daedric Lord. Although he and Shiva are both destroyers, they are both destroyers of completely different things. So, to answer your question, no I don't think they're that related at all. (Aside from the arms)
Shiva doesn't just destroy evil, he destroys everything for without destruction there is no creation. Brahma cannot create if there is something already there, and Vishnu must maintain or else that creation is meaningless. People don't give Hinduism the create it deserves, its not just some tribal religion from India, its a very advanced metaphysical doctrine.
Dagon is not "evil" either, as non-canonical as it is, I like to think that the Dagon in the Seven Flights is how Dagon should be viewed- a very real result of the cycle of time and an essential element to mortal existence. Dagon serves a very vital service, and though at first glance is just a mindless killer, he is actually a symbol of degradation brought on my linear time and a foil by which creation can have value.