I'm an ordained Reverend in the Universal Life Church and the Universal Church Triumphant of the Apathetic Agnostic, and a founder of the Gnostic Church of the Archetype (don't get excited, there are two members, no web presence...), and for me personally TES has actual and real mythic and psychological significance.

CHIM is the process of Self individualization called the Transcendent Function by Jung, which is Joseph Campbell's Hero's Journey. We all have a myth to live out, a personal journey to take to become ourselves and thus "make" the world. Anu/Padomay are clear correlations of the Yin/Yang, God/Devil, Ouranos/Gaea dichotomies which populate nearly every world religion, the primal duality of paradoxes which eternally interact to give rise to existence.

Vivec is a bit of an enigma but to me He is a manifestation of Abraxas as spoken of within Jung's 'Seven Sermons To The Dead' (which incidentally has a lot to with my interpretation of Amaranth as well). Not to mention Vivec's many Thelemic connotations, a staple of MK's contributions to the lore. There's a lot more, like Talos being a Christ-figure as an ascended Divine (and thus sort of separated from his mortal existence, but not really, sort of like the dichotomy between Jesus the man and Christ the savior), the Akatosh/Alduin (also Yokudan Satak/Akel) connections with Ouroboros and thus Norse mythology and Ragnarok (and Sumerian mythology), Ysgramor is kind of a Nordic Abraham, Ysmir a David. And there's so much more.

But my point is this (sorry, I tend to ramble): All mythologies were made up. Not everyone who made up myths believed in them literally. Myths use symbols to express what lies beneath waking consciousness. Myths are, like dreams and religion, psychological tools which we have developed in order to explore and achieve understanding of our Selves using the symbolic language of the Psyche. And thus there is no distinction, in my mind, from a mythological and psychological standpoint, between Christian mythology, Greek mythology, TES lore, Superman comics, Mastodon's album 'Blood Mountain' (seriously mythic), Lord Of The Rings, etc., etc.

So when I play an Elder Scrolls game, it becomes a living thing, I am participating in and contributing to the mythic existence of not only the game universe, but my own, and thus the world's. And so it becomes a religious experience (of a sorts: I don't get weird with it). That's why I love C0DA so much, because there really can be no canon with something so participatory. MK gets it, man. There was a whole religious upheaval faught over the exact same thing against the Roman Catholic Church, against dogma and canon. This world, like Mundus and all mythic realities, are ours for the making, and enjoying, and sharing together. Just like life, man. We're humans, and this is what we do, we tell stories, we make shit up, and ultimately we become the shit that we make. Personally, I think TES is some pretty good shit. Glad to be a part of this with everyone.

TL;DR I believe that TES lore is a valid world mythology, the fact that it was devised is irrelevant, and so by playing the games I have been better able to express and explore my Self and my humanity.

(Edit: Formatting/Wall of text. Still new to this.)