I'm sure that many of the Thousand Cults of the Imperial City would have included Lorkhan (in the form of Shezarr) in one form or another - either as their primary deity or as a saint or spirit - but unfortunately, these cults weren't present in Oblivion. That doesn't stop you from inventing your own, though. Shezarrite cults were apparently quite popular once, although they venerated him as the spirit of human achievement. I recommend reading http://www.imperial-library.info/obscure_text/onthe8.shtml for some background on this.
An obscure reference in the Sermons mentions the "Void Ghost Eaters", which I would guess to be a cult of some kind. The name "Void Ghost" seems to reference Lorkhan as the "Space God", although their relationship to Lorkhan is speculative at best.