I was wondering if there's ever been mention of any mysterious planes that don't fit in to cosmology that is Mundus, Aetherius, Oblivion and the Void? I recall hearing that the Dwemer departed to the "Outer Realms". There's also this from http://www.uesp.net/wiki/Lore:Aurbis:

So what could these so-called Outer Realms be? Again, it's mentioned as being separate from everything else we know in TES cosmology.