That's actually a great question, but since there's literaly nothing about the subject in all of the elder scrolls lore, I'd guess there aren't any. Or if there are and haven't been learned of yet, they might be portals to the Void. I know, black holes aren't actually holes in reality, but in game the sun and stars are holes into aetherius, so maybe.
I like the explanation that they are openings connecting Oblivion to the true Void, bypassing Aetherius. Makes sense to me. :)
F.y.i. I also have a theory that in real life black holes don't really destroy information like they are supposed to do. Instead that information gets "coded" into the Black Hole, like the idea of quantum entanglement, possibly to be emitted again at some future point (as black holes are known to emit energy from time to time for unknown reasons).
This is just speculation on my part, of course.