I'm playing a faithful dunmer. He wouldn't be caught dead paying homage to the false gods calling themselves the Aedra.

That I can't make a shrine to Boethiah or Azura in Hearthfire in this game is sorely disappointing. Is there at least a mod for this somewhere? I've checked the workshop, but came up with nothing.

Why worship those creatures? To pray that your not killed? Not really the diety I'd want to follow..

Can't say that I know of any mods though, perhaps you could just alter a shrine to arkay through the kit.
Maybe they have something over at the nexus community. Check there?

It's an RP thing. Dunmer worship Azura, Boethiah, and Mephala. The malevolence of Boethiah and Mephala seem to be largely glossed over.