I've been thinking... What if the gods are not actually gods at all but just the concepts they represent? For example; Mara is Love, Stendarr is Mercy, Mehrunes Dagon is Destruction, etc. So could it be that they actually
are these concepts and not gods of them, but they appear as such in the mortal minds with human characteristics and personalities, because our minds are limited so we limit these concepts when they manifest? The gods have no shape and aren't really conscious beings at all, they just appear that way.
It's like the view that Sithis is not a god but a force. Yet he is worshipped as a god. This would make it possible for Sithis to appear to members of the Dark Brotherhood despite not being sentient at all. It's not Mephala playing tricks on them, but actually a concept manifesting.