well I am pretty sure it's impossible but.. he kept asking me to join him etc. so I was wondering if it maybe was possible?

via mod it is for sure

http://planetelderscrolls.gamespy.com/View.php?view=mods.detail&id=801

But otherwise not, unfortunately. Would've been nice for sure, even if you'd have to end up betraying him.

In vanilla, but it is always mods.

It'd be kinda screwed up if the game ended up with you, a deformed ash monster, ruling over a corprus infested blighted landscape.

... but in a good way

A pity I've never seen a mod where you end up as the only "god" in town (except the aedra and daedra of course). Neither the Tribunal nor Dagoth Ur are good or even competent rulers. I mean Dagoth Ur is mad, Almalexia is *censored* and Vivec is a murderer that speaks in riddles. The only one mildly moral is Sotha Sil.

I do believe you can side with Dagoth Ur and betray him in the end with the Great House Dagoth mod, making you the leader of the Sixth House.

Yes, that's correct. Among the possible endings, there is one where you are the only living god in Morrowind.
I didn't play it that way, but the choice is there for those who are so inclined.