Azura's Star, also called the Twilight Star, appears briefly at dawn and dusk low on the horizon below the constellation of the Steed.
Stars are Aetherial, except for the Unstars of the Serpent. In real life the closest thing would be the planet Venus, commonly known as the Morning Star, but plane(t)s are Aedric, not Daedric. So what exactly is the Twilight Star that is associated with Azura?