OOOOH AN ASK YIPEEE
I will proceed to yap about this for 40 pages im sorry if i get everything wrong and need to be put down behind a walmart
I haven't played much Morrowind, so the finer details might be lost to me since both aren't my main area (and im good at forgetting), but there gotta be a mix of... lots of things just based on everything? There is so much place for love, awe, terror, even horror - and a heavy dose of this... tragedy? Delicious is what it is.
Even if it is only Azura x Nerevar then she watched her boytoy be dismantled like a crab by his own wife (is she still his wife in this?? the poly expansion??) and friends, who proceeded to tap into the power of the heart - which depending on with what you go with etc was either possibly from her friend/lover/sibling, or whatever they have got going on in khajiit mythology again - to become gods despite being told to literally not Do That. Her reaction also included cursing/blessing/blursing the entire people with a whole new look like damn- From what I know she is also very loving (or perhaps possessive) to her worshippers so to be betrayed like this had to HURT even if she saw it coming. As far I know, they did not only kill him, but disfigure him in death - face, hands, feet - to take yet more from him. Her precious little Nerevar.
Nerevarine x Azura?
I think it gains a different tint depending on if Nerevar x Azura happened before this or not, but I think it can easily be overwhelming anyway. You are the risen ashes of a different person, you have a goal so high it is on fire, and a Daedroth looks upon you with overwhelming, searing love. This depends on the Nerevarine, of course, yet this is also where some of the horror jumps in, I believe. How do they say no to a Daedra? Do they feel longing from before? Hatred? Fear? She is inescapable.
The tragedy is also mixed in this from the "do you even love her still?" The query if this is all coming down to the possibility of simply being a replacement for a previous, precious love that you can't quite be. A mourning love. Even if this is only sexual, the tragedy and horror remains sticky. Those probably feel like some high expectations you have to match up. Also from Azura's side the image of essentially watching over a love who is now a stranger to you is so SAD??
It can also be softer I believe. There is something absolutely adorable about something like Azura picking them - McFail - to love specifically. She probably has very strong followers who will do everything for her, so to be picked above them can be horribly humbling and ego stroking at the same time. Azura x Nerevarine cuddling anyone?
The awe naturally also comes from who and what Azura is, like with every ship between an et'Ada/Daedra/Aedra and a mortal. She apparently changed an entire group permanently, down to their descendants, and is so much older than Nerevar/Nereveraine. Azura was doing whatever she was doing before anyone got their shit together, like damn. Her word can have people killed out on the street probably no questions asked.
tldr: I'm not an expert on the lore so this is missing, but maybe Nerevarine didn't go to Akavir but into her bechamber yk yk /j... unless...
I gotta play Morrowind now and get further into Daedra lore I will be missing for 4 years