There are the fascinating stories about the sun and stars being holes to Aetherius and towers that hold the universe and whatnot.
What I think about all the ridiculous theories and stories about Nirn and it's universe is that they were made up by men, just like people thought the Earth is flat, obviously it was wrong, so maybe the same goes for Tamriel?
What I can say for sure is that the gods do exist as there are countless proofs for that.
Feel free to discuss.