Ok. I was reading conan minding my own and then in the story this dude says to conan that he should be protected or something by the gods Azura and Istahr.

What do Azura means or have conan or morrowind just ripped it off eachother??

Robert E Howard borrowed from many sources for the Conan stories. Azura is a name derived from a Persian word meaning sky-blue. I'm not sure if Howard used that name or if it was another Conan author. Azura is a name used all over now.

The god Asura (note spelling) figures into several Conan stories. The name Asura is Hindu but the Asura in the stories may have also been borrowed from the Zoroastrian god Ahura (Mazdah).
The priests of Asura are opressed by the more powerful cults in Aquilonia. Conan allies with them and gains some powerful magical help to defeat an evil sorcerer.

The developers of Morrowind borrowed from many sources to create their world too. A lot of the content was inspired by history and myth and isn't completely original.

Of course. The Asura clan saved Conans daughter (Radegunn?? I think it is that in norweagian) when the evil mage (dont remember name) tried to kill her, The Asura clan saved her and her baby By making a circl around her bedroom and pray! They did not manage to save zenobias child that she were pregnant with tough

PS: That Conan story were not made by Robert E. Howard Though!!