Board Thread:Lore Discussion/@comment-2165692-20170502184502/@comment-29845234-20170612062845

^ They are possibly parts of Lorkhan's corpse, according to the Lunar Lorkhan. However, the Khajiit don't see it that way. Jone and Jode are the moons, and are separate from Lorkhaj.

However, it is worth noting that Lorkhan is always the Missing God, described as "the upstart who vanishes" in the Commentaries on the Mysterium Xarxes. Although I very much doubt that it has anything to do with the moons' disappearance.