User blog comment:Jimeee/Elder Scrolls Online: Introduction to the Lore/@comment-108.64.16.207-20120825135029/@comment-4103352-20120825212911

It does take place on Nirn. It says right on the page for Online that Molag Bal is using "Dark Anchors" to drag Mundus (Which Nirn is a part of) into Coldharbour.