Actually, Redguard was probably the first action/adventure game. But I guess you can say it isn't necessarily an Elder Scrolls game, it simply based in the world of the Elder Scrolls.
I'll let it slide though, no problem 1234king

(Psst, I haven't even played anything older than Morrowind anyways...)
For right now, if they continue on the path of continuing the forward motion of the timeline, I can't really see what would be the new threat to the world. Like with Oblivion, you were facing the Lord of Destruction himself! What else could top that? The only thing I can come up with is MULTIPLE Daedra Lords. But that would be a terrible, terrible idea.
*makes sure Bethesda isn't listening to his terrible idea, just to make sure they don't think it's actually a good one, because it DEFINITELY ISN'T!!!*
So yea, I don't know where they're going to go from here. Maybe they might go back before Arena instead... that'd be interesting.