Myths are myths. Legends are Legends.
From the Morrowind Era book which first mentions the World Eater; Varieties of Faith in the Empire:
Shor (God of the Underworld)
Nordic version of Lorkhan, who takes sides with Men after the creation of the world. Foreign gods (i.e., Elven ones) conspire against him and bring about his defeat, dooming him to the underworld. Atmoran myths depict him as a bloodthirsty warrior king who leads the Nords to victory over their Aldmeri oppressors time and again. Before his doom, Shor was the chief of the gods. Sometimes also called Children's God (see Orkey, above).
and
Alduin (World Eater)
Alduin is the Nordic variation of Akatosh, and only superficially resembles his counterpart in the Nine Divines. For example, Alduin's sobriquet, 'the world eater', comes from myths that depict him as the horrible, rauaging firestorm that destroyed the last world to begin this one. Nords therefore see the god of time as both creator and harbinger of the apocalypse. He is not the chief of the Nordic pantheon (in fact, that pantheon has no chief; see Shor, below) but its wellspring, albeit a grim and frightening one.