It's not so much a continent, not in the way your thinking. Places like Yokuda, Akavir, or Atmora are very physical continents(even if there is a theory the first two are subsequently Tamriel's past and future) but Lyg is different, very different. It's not a mirror image of Tamriel and Nirn(that honor goes to Coldharbour and Molag's perverse attempts), no, it 'was' Tamriel.. give or take a few Kalpas between. It is, or, was so in a previous Kalpa long since lost and replaced.. As like many before it's time.
Hell, it's even possible in that kalpa, creation occured different, which probably allowed Dagon to assume the role he did and topple the tower(s) as he did
Ya.. Time and timelines in TES are wierder than a Dr Who Fanfiction
But to answer your question, no, if the Thalmor wanted to unmake creation.. All that they need is on Tamriel. After all, Dagon tried something 'similar' and lets be honest.. he's more of an expert on how Nirn and it's towers works than any mortal <_< plus, you got that Tower on Yokuda, and who knows if any are om Atmora or Akavir, let alone if their active. And Lyg? Even if, IF they needed access to those towers for their plan.. it's already gone and toppled