I guess the custom key assignments (main menu -> options -> controls) must be saved somewhere but I can't figure out where.

I fear only in Windows registry, e.g. in my system

HKEY_CLASSES_ROOT\VirtualStore\MACHINE\SOFTWARE\Wow6432Node\Bethesda Softworks\Morrowind

Thanks. It's the same location on my system. I think it could be possible to read these with a .cmd script and save to another MWSE\file, readable with in game script.. but spending a few minutes on it I couldn't crack the registry value encoding (doesn't convert to ascii or follow microsoft virtual key code). Oh well, now I know.