Maybe Azura was somewhat inspired by Athena?
Pft, I doubt it. Azura is not a battle goddess, not a virgin (well, that's not really applicable to Daedric Princes in the first place), and not particularly wise (just has insider info). And she didn't srout full grown from a parent's forehead. The greek gods were made in the image of man, plus some kinky fetishes and super powers.
As for influences from the Odyssey? Nope, none that I can tell. The "wandering hero" with guidance from a supernatural being is an archetype found in many ancient culture's stories/mythologies/legends - e.g. Gilgamesh.