Nirn is a finite plane as opposed to the inifinite planes of the gods. Since planes and planets are interchangeable terms in lore, it's a bit difficult to use them as definitions for physical shapes, since a plane is a two dimensional object and a sphere is a three dimensional one.
However, planets are always referred to as spheres or "bubbles" of infinity in the greater infinity of Oblivion, so it's logical to assume that Nirn is spherical. Although if the http://www.imperial-library.info/mwbooks/lessons.shtml#17 are any indication...
Turtles all the way down...
Ha!