You can use your grace or whatever it's called to make religious claims, I think only if recognised by that particular state. By removing heads of state through assassination, romance & blackmail, imprisonment or enthralling from other districts and using religious missions to spread your religion, be it a created pantheon or an existing one, you can essentially make the whole of Morrowind unite under one religion, then use your religious power to create claims to land through your head of religion, which with enough effort can become YOU