The Dremora don't worship anyone.
Muthsera,
Although I cannot find a text that unambiguously determines whether the dremora engage in the worship of Mehrunes Dagon (or any other entity, for that matter), I feel obligated to remind the thread that the Champion of Cyrodiil stated that the citadels fortifying the Deadlands contained "worship benches" within. Considering that the dremora, xivilai and atronachs seem to be the only entities found within with the wherewithal to engage in the higher intellectual endeavor of "worship" (the spider daedra, scamps, and occasional daedroth are too bestial in nature, I presume), we would be amiss to assume that dremora, as a whole, do not worship....something.
However, it must also be stated that to come to a definitive answer solely based upon the objective evidence currently available would be allow ourselves to gambol down the Golden Road of hasty decisions.
Further this merchant sayeth not.
Yours in the Scrolls,
___The Word Merchant of Julianos