Now this certainly is interesting, as the Dwemer in the "Elder Scrolls" games are a race of so-called "deep-dwellers" that the human races call dwarves, but which have turned out to be elves (?). The Dwemer in these games also seem to be escapees from a Steampunk setting, as their cities are full of pipes, steam, and steam-driven automatons. *shrug*
If this was all, I'd count it as a coincidence - but then, take a look at this aerial shot of Whiterun, the first walled city that you come across in Skyrim. What does this remind you of? The architecture, and particularly the wooden watchtowers that greet you as you first enter Whiterun, immediately made me think "Hey, it's Edoras, the home of King Theoden from the movies!"
So what do you think? Is this all just a coincidence, or is there some sort of link between Skyrim and LOTR? Just wondering!