Well, a lot of our days of the week are derived from Norse gods (Thursday = Thor's Day, Wednesday = Wodin's Day, Friday = Frigg's Day, etc etc), so since the Norse gods don't exist in Tamriel, it doesn't make sense to keep the names.
It probably works with months, as well. Lots of those are named after Roman emperors.
EDIT:
But as for a
lore explanation? No idea. (Thought this was in the Skyrim forum so I gave IRL reasons).