My cousin and I thought it would be cool if we could adventure together in the Elder Scrolls world together as a team taking down dragons and bandits together. Has Bethesda ever thought about making a co-op rpg game?

Both TES Legends: Battlespire and TES Travels: Shadowkey have co-op, although neither is part of the core series and they're both relatively old at this point. In the past Bethesda has commented that they don't want to split their gameplay focus, and would rather put all of their resources into single player. However it's always possible they will change their mind, or pursue another spin-off.

If you'd like to discuss co-op and the series please use http://www.gamesas.com/topic/1366657-non-mmo-tes-multiplayerco-op-thread/. You should also review the OP before joining the discussion as it has important ground rules.