I know that much. Now that I recall didn't a book or something detail the moons' history? Or am I just "misremembering"?
The moons are the body of Lorkhan, who was killed by the other gods at Convention.
The large one is called Masser, and the small one Secunda.
Cyrus the Redguard says the geology and climate of Masser remind him of Yokuda, or Morrowind.