The Daedra are not killable, by the way. If, by some freak of nature you managed to kill a Daedric Prince, their soul would just return to the realm of oblivion they inhabit and reform their body. A Soul Gem wouldn't work, since the souls of a Daedric Prince are too big.
Lorkhan, the only Daedric Prince to be confirmed as "dead" required pretty much all of the *other* Daedric Princes to actually do the deed, and we're not sure if he's dead or just unable to reform his body. Remember- Jyggalag was also too powerful, and the best the other Daedric Princes were able to do to him was to turn him into the Prince of Madness, only to return to "normal" once every thousand years or so. What could a single mortal- or even a race of mortals- do that the combined power of the 13 or 14 other Daedric Princes couldn't?
Isn't Lorkhan an Aedra since he was involved with creation?


Most of the characters are Dwemer, there are different versions of the story but in all versions they're Dwemer, I could be wrong and if I am I'd love to see the source as Elder Scrolls history really interests me!