Azura - based on "azure" the color
Boethiah - ???
Clavicus Vile - clavicus means something like "key" in Latin
Hermaeus Mora - ???
Hircine - ???
Jygallag - ???
Malacath - possibly derived from "malakh" a Hebrew word for messenger
Mehrunes Dagon - Dagon was an agricultural god in ancient Mespotamia....but Mehrunes?
Meridia - meridian refers to the highest point in the sky
Molag Bal - I know it means "fire stone" in Ehlnofex, but was that even established back in Daggerfall?
Namira - ???
Nocturnal - adjective for night
Peryite - ???
Sanguine - sanguine means "blood"
Sheogorath - ???
Vaernima - ???