The only thing I can think of is that story of Trinimac and their creation.
They were originally Aldmer - and ardent ones at that, as they tried to oppose the Velothi exodus - but considering their transformation into barbaric pariah-folk, I don't think that Aldmeri ideologies would remain a part of their culture to any large degree.
At first I was thinking that perhaps we haven't seen much of their culture because they're uncivilized brutes and as such don't have much culture to see, but on further thought it seems that's not really a fair characterization of them. And even if they are barbarians, that shouldn't preclude the existence of a rich mythos and cosmology. In fact, in the real world civilized folk tend to have much less developed forms of those things than the "barbarians" do.
One more thing; Why is Dumac called "Dwarf-Orc"?