Theres been much discussion on the dragons, the gods, and the kalpa.

frankly im unsure what kalpa is, the godhead or much of the gods. Which books do i need to read to understand all of this. The origin, the current pantheon and the roles of the gods.

The ones in the Religion section of http://www.gamesas.com/index.php?/topic/1112211-how-to-become-a-lore-buff/.

The absolute necessities are the http://www.imperial-library.info/content/morrowind-monomyth and http://www.imperial-library.info/content/morrowind-varieties-faith-empire.