(Spoiler) Final Quest

Farmerr

In the last quest, God of Schemes, what is that city and where did it come from?

It has a Tower of Nirn and Merethic Era arhitecture like the Imperial City.

I think Lyris mentions it was probably sucked in from Tamriel ages ago
But is there anything else to go along with this?

Enodoc

I don't think it's specifically stated. There's bits of Tamriel all over Coldharbour, and even more bits that Molag Bal has copied to look like Tamriel but which actually aren't. For example, the Lightless Oubliette was created in the image of White-Gold Tower, but isn't actually taken from Nirn. Conversely, the Argonian village and the Bosmer forest were taken directly from Nirn by Molag Bal. Then of course there's The Hollow City, which was originally the Cyrodiil city of Delodiil, but that was put in Coldharbour by Meridia rather than Molag Bal.

As for the things you see during God of Schemes, I imagine they are intended to be incidental parts of Merethic Tamriel, probably a mix of stolen and copied objects. I think Sai suggests they may have been part of a temple, but someone else suggests they may just be a Daedric perversion.