Mundus is Nirn and is surrounded by the void of Oblivion which in turn is surrounded by Aetherius, all of this exists in the Aurbis created by the interplay of the cosmic forces of Anu and Padomay which exist in a void called Sithis (not the dark brotherhood Sithis, those guys were confused as hell about metaphysics). The sun and stars are holes through oblivion to Aetherius created when Magnus, the architect of Mundus, and other spirits fled creation. The planets are "bubbles" of infinite size suspended in Oblivion, they appear as they do to mortals due to mental stress in the mind of mortals who cannot properly see the body of a god. The moons are two pieces of the same sphere, believed to be the body of Lorkhan, and they orbit Nirn.
Nirn orbiting the sun could be explained with Einsteins theory of space-time. The sun is a hole punched through space-time, permanently deforming it and creating the curved space that Nirn orbits in. This is probably wrong but we don't know the specific mechanics so in the end it probably comes down to that the earth-bones did it, somehow.
The planes of Oblivion are planets, physically in the TES equivalent of outer space (Oblivion), but space is an illusion created by mortal minds so the distance between the planes and Nirn is undefined.