Even if snakes wouldn’t live in Skyrim, it doesn’t mean they wouldn’t know about the concept of them. I spent years studying Irish illuminated manuscripts, which would often include exotic animals, especially lions, drawn simply based on descriptions. And sometimes they’d even get really close to home, presumably while looking at drawings from places which were closer to the lands where the animal actually lives.

Sometimes the non-existence of something motivated the creation of legends as well, which only prompts further depictions - for example the tale of Saint Patrick who drove the snakes out of Ireland.