It did, over 4,000 years before the Third Era, when the ancient Elves called the Dwemer ruled Vvardenfall.
They made massive metal cities, computers, robots, factories, assembly lines, electric lights, steam power, deep underground mines, and a God fashioned from the very heart of the world.
It's hard to get more steampunk than that without Vangelis playing in the background as Harrison Ford eats Ramen.
In what way does "a God fashioned from the very heart of the world" sound like anything
other than magic? For that matter, the geo-thermal power sources they use for steam are fully magical, since Nirn does not operate on rational physics, but on "Earth Bones".
Like I said, dwemer don't have steampunk, they have sufficiently anolyzed magic that just looks like technology because they've refined it to the point where it has predictable results.
How, exactly, are those "steam-powered" automatons moving around when not hooked up to any steam, and have no fuel source to generate steam? Because they aren't steam-powered, they're powered by the souls of formerly living creatures (in this case, probably the dwemer themselves). The magic just creates steam that powers pneumatic moving parts. Just like all the other magical apparatii in the game. The dwemer simply have a distinct architectural style and an understanding of pneumatics.
After all, how can a steam-powered machine even discern friend from foe, much less attain sentience, if it's just steam driving it? (To quote Yahtzee / Zero Punctuation: "I was unaware that boiled water was capable of forming allegiances.") It obviously has to be magic.