I've heard that a few times, but never seen it said in canon anywhere. It's possible that such a lofty goal is just a justification for their authoritarianism. Also, do they need to actually destroy Mundus to escape? I've also heard that all the gods are really just overgrown ancestor spirit, that Talos is in fact a Daedra (consider the inherently evil nature of the heart of lorkhan - that should tell you a few things about it's true nature). But then you have Shor, which seems to have been an independent entity from Lorkhan, which further seems to support the 'overgrown ancestor spirit' theory.
"Canon" is a debatable term when it comes to TES, 'lore' less so.
Certainly the following quote from MK, published well before Skyrim came out provides some insight in the Thalmor:
"
What appears to be an Altmeri commentary on TalosTo kill Man is to reach Heaven, from where we came before the Doom Drum's iniquity. When we accomplish this, we can escape the mockery and long shame of the Material Prison.
To achieve this goal, we must:
1) Erase the Upstart Talos from the mythic. His presence fortifies the Wheel of the Convention, and binds our souls to this plane.
2) Remove Man not just from the world, but from the Pattern of Possibility, so that the very idea of them can be forgotten and thereby never again repeated.
3) With Talos and the Sons of Talos removed, the Dragon will become ours to unbind. The world of mortals will be over. The Dragon will uncoil his hold on the stagnancy of linear time and move as Free Serpent again, moving through the Aether without measure or burden, spilling time along the innumerable roads we once travelled. And with that we will regain the mantle of the imperishable spirit."Now there are a few things that support this point of view. Most notably the Merish idea that the Mundus is a prison and the Aedra are jailors (as opposed to the mannish view that Creation is a gift).
The Dwemer tried to escape the downward spiral of creation by uncreating their entire race back to a point before their collective soul fragmented, they tried to make their entire race a god, the Numidium.
They failed through cause unknown, but the Thalmor seem to be trying the exact same thing.
Except that where the Dwemer wanted to uncreate their race into a giant time-travelling robot, the Thalmor are trying it by uncreating the world itself.