Canonicity

[IcarusBen]

Are the Travels games canon, or did Bethesda sweep them under the rug like they did with Fallout Tactics, or is it like Bionicle where "it's canon except for X, Y and Z?"

[Jeancey]

Bethesda didn't sweep Fallout Tactics under a rug. Fallout Tactics was swept under a rug before Bethesda ever even thought about buying the rights to Fallout. It was swept under a rug by the original developers of the Fallout franchise because they didn't like how it turned out (it was developed by a separate company).

[legoless]

To answer the question, Shadowkey is very much canon. I believe Todd Howard was involved in developing the lore for the game, and Shadowkey places and characters have appeared in Dragonborn and ESO. Dawnstar and Stormhold haven't received as much love, although you could argue that Skyrim's Udyrfrykte and ESO's Ayleidic Stormhold are vague references. Oblivion Mobile probably isn't canon at all due to its simplified and contradictory retelling of Oblivion's storyline, but the wiki treats it as such regardless. The cancelled PSP game has no lore to speak of.

[Rezalon]

What characters/places from Shadowkey have appeared in the Dragonborn DLC?

[legoless]

Azra.