Skyrim and LOTR are "fantasy" made up worlds, but they do borrow from the myths and folklore of the Anglo-Saxons and Celts (such as Beowulf, King Arthur, etc), Vikings (for example "draugr" is a real word for the undead in Norse stories), and other European cultures (for example, there really are people called "Bretons"). I've also read that some aspects of the Elder Scrolls games are influenced by Middle Eastern, Japanese and Egyptian folklore and history. Things like dragons, giants and magicians (wizards, hags, witches, etc) appear in the myths of many different cultures, all across Eurasia.
Folklore: Legends, music, oral history, proverbs, jokes, popular beliefs, fairy tales, stories, tall tales, and customs included in the traditions of a culture, subculture, or group.
Myths: A body of stories which a group of people tell to explain nature, history, and customs.
If you're asking how the religion in Tamriel compares to the religions of Rome or Greece, they are all polytheistic, though the Nords seem to be developing a penchant for a monotheistic religion similar to Christianity. Dibella seems to be similar to Venus/Aphrodite, and Mara is maybe similar to Hera/Juno (goddess of marriage). But I don't think there's really much in common, once you scratch the surface, between the Greco-Roman pantheon and the Tamriel pantheon. Akatosh/Auriel is not Zeus/Jupiter, Arkay is not Hades/Pluto, etc. The lore of Tamriel is entirely invented by the creators of the Elder Scrolls.
LOTR is considered a work of "mythopoeia" -- invented, artificial or fictional mythology. See: http://en.wikipedia.org/wiki/Mythopoeia I imagine Skyrim would fit into this category as well.