Nothin' like paint brush pictures of biblical pseudo-science to brighten my day.
The Dwarves got it better:
What are planets?The planets are the gods and the planes of the gods, which is the same thing. That they appear as spherical heavenly bodies is a visual phenomena caused by mortal mental stress. Since each plane(t) is an infinite mass of infinite size, as yet surrounded by the Void of Oblivion, the mortal eye registers them as bubbles within a space. Planets are magical and impossible. The eight planets correspond to the Eight Divines. They are all present on the Dwarven Orrery, along with the mortal planet, Nirn.
What is Nirn?Nirn (Ehnofex for 'Arena') is a finite ball of matter and magic made from all of the god planets at the beginning of time, when Lorkhan tricked/convinced/forced the gods to create the mortal plane. Nirn is the mortal plane and the mortal planet, which is the same thing. Its creation upset the cosmic balance; now all souls (especially the Aedra-Daedra/Gods-Demons) have a vested interest in Nirn (especially its starry heart, Tamriel).
What are moons?Small planets, insofar as one infinite mass of infinite size can be smaller than another. Planets do have orbits, or at least lunar orbits are perceived to happen by mortals. Moons are regarded by various cultures as attendant spirits of their god planet, or minor gods, or foreign gods. The moons of Nirn are Masser and Secunda. Moons are not represented in the Dwarven Orrery.
What is space?Space is the interpretation of Oblivion, which is black and empty and surrounds the mortal plane. Space is infinite, but it acts just like a planet, in that Oblivion is 'surrounded' by Aetherius. You can see Aetherius by the stars.
What are stars?The stars are the bridges to Aetherius, the magic plane. They are perceived as holes on the inside surface of space. Because they are on the inside of a sphere, all stars are equidistant from Nirn. Larger stars, therefore, are not closer to the mortal plane, they are just larger tears in Oblivion. The largest tear in Oblivion is Magnus, the sun.
Hail the Brass God, Numidium. The Prime Gestalt.