I don't think this is the case, at least not obviously. They tried first to build Numidium, a mechanical god powered by Lorkhan's Heart, then disappeared in a seeming act of desparation as their nation was losing the war with the Chimer. No one can say why or even how they all disappeared, so it isn't fair to say they were trying to escape reality. But no one really knows what they would have done with Numidium either, so the Dwemer's theological ideas aren't really clear at all, except that they had little veneration for Daedra.
actually, a dev came on and said how and why. The became the golden skin of the Numidium during the battle of red mountain. The original plan was to ascend back to when they were great and such, not lowly mortals, stuck inside of a prison called Mundus by using the Numidium. However, it seems they forgot to put the power button on "on."
And they had very little veneration to any of the "gods"