It's funny that people take this as gospel. Sure, it is lore. But that doesn't make it true.
In TES, it does.
The moons are the body of Lorkhan.
They are also,
at the same time spheres in the sky you can walk on.
Cyrus has been there, so have Imperial Mannanauts and Altmer Sunbirds.
The sun is a hole in the sky through which magicka flows into the Mundus.
It revolves around Nirn, it is a geocentric universe.
When Mannimarco achieved apotheosis, a new heavenly body appeared in the night sky.
Mannimarco now orbits Arkay like a moon.
On Earth, in primordial times, we had a similar mythical view of the universe.
We found out that while nice allegories, the stories were not literally true and now we have physics.
Tamriel is a fantasy world where the mythical view of the universe turned out to be correct and magic actually works.
The planets in the sky are the gods.