I think there have been a few NPCs who are interested in cultures and societies. There are folks interested in Dwemer culture and language, though that's a bit more like archaeology.
Off the top of my head, Huleeya in Morrowind is interested in Ashlander culture; he's an assassin by class and is called a "lover of old things." Tharstan in Skyrim is writing a book on Skaal history and culture, which probably makes him the closest thing the series has to a true anthropologist. He's a "Dremora Class" by class, which is the default class for a new NPC created in the Creation Kit. There are also many savants in Morrowind who know a lot about races and societies, though their information is secondhand.
Generally, the Mages Guild undertakes excavations and performs historical research; the Guild seems to broadly accept those with a passion for research, even if they don't have much magical skill (or at least don't demonstrate it). An anthropologist would probably just be called a scholar or a historian, and possibly be called a wizard, too, since most magic-users seem to have an affinity for research beyond spellcasting.