Ok, so we know from some creation myth (I'm not sure whose idea it was that stars are actually holes in the sky through which magic flows onto Nirn, but anyway) that space and celestial objects are personified and given a magical nature, kinda like in ancient Greek myths, so Nirn is the planet TES takes place on, the moons are basically the moons, the Oblivion planes seem to be other planets in the system, Anu seems to be the star, and then Sithis is the empty space between celestial objects?
No. Oblivion and Aetherius are other universes/dimentions. The sun and stars are holes created when the Aedra were breaking through to Aetherius and the planets are the Aedra that were unable to escape. Sithis personification would be The Void.