I haven't played Oblivion in a long time but does anyone have a hint to what they might have worshipped? I remember it was said that they found them underground in the caverns while digging which led to them being rich for a blood price and if I recall correctly their "bible" was written in some sort of gibberish which can be transcribed into Daedric.

The Bible of the Deep Ones was a Lovecraft reference. They probably worshiped Hermaeus Mora, who himself is a Lovecraft reference. The Deep Ones were fish-men looking creatures, which Mora has a version of in his realm in the form of the http://images1.wikia.nocookie.net/__cb20130206164819/elderscrolls/images/c/c3/Dragonborn-trailer-14.PNG.

Specifically, "The Shadow Over Innsmouth"

http://www.dagonbytes.com/thelibrary/lovecraft/theshadowoverinnsmouth.htm