One of the things I like most about TES is the writers' abilities to retcon things so nicely and create new, unique lore out of it.
Different Khajiit forms? The Lunar Lattice. A unique and awesome aspect of TES.
See-through moons? Lorkhan-yada-yada.
(Though admittedly not everything is great... I'm looking at you, jungle-to-forest quote!)
Yeah, that last one bugged me, too.
But that's what's wonderful about TES, to me. The way they've weaved their lore over the last almost twenty years now is impressive. Plus, it leaves a lot open to interpretation, what with things being unclear on many fronts whether it's real or just folklore.
Anyway, those planets in the sky, as previously stated are the two parts of Lorkhan's corpse. Masser and Secunda. Easy to remember which is which because 'Masser has more mass.'