Here my 2c
Dark magic(rather: the craft of Necromancy) may be based on twisting of the fey, based on men's understanding of elvish teachings, perhaps.
Afaik and to be fair, Lords of Light is mentioned at only one campaign, that also has other questionable things such as an half-elf being the protagonist.
At that instance, i think its rather related to that person's imagination, rather than being an fact. After all, that would be an belief.
Inspecially seeing how that campaign plays out like an DnD adventure at some parts, id say its likely the characters therein seem to be rather an fine assortment of the oddballs of Irdya, prone to inventing things on the go or even seeing things completely different than they are.
white mages and Paladins of wesnoth seem to be venerating the Light(and through this to an lesser extent: the sun's life-cherishing aspect) in general, rather than serving an god or deity.
Khalifate in contrast seem to have objects as gods. I have seen Air Gods, Earth Gods and other such "god" units.
Im sure those are al-Kamija units in Era of Magic and it's campaign To Lands Unknown, rather than being related to the Khalifate. probably you have played my version of it that has jinns and sorcerors and got confused as such. :p
As for does Khalifate believe into an wesnothian Allah: thats an can of worms im not opening. Seriously, i have no idea whose Khalif it is when there are no Prophets around in wesnoth.
Elves may have, as beings closely connected to the world of Irdya and it's plane of fey, have an entirely different concept of veneration and worship than humans. It may be even likely that the direction of any possible worship happens the other way around, eg. they would be the ones bestowing gifts to the earth, in return nature would care about them and come to their aide, should the Elves have been tending and caring enough. The idea rephrased: each elf would be an micro-god, due to it's innate power of the Fey residing within. Those who aspire to greater would tend to the earth and it's elements.
They may or not have something regarding the stars in the sky.
<by the hammer of [ancestorname]>, <by the beard of [famousdwarfheroname]>, <by the stone of [memorablekingname]> and such seem to be an commonplace practice among dwarven species across many fantasy literature and even video game universes having any. I think its origins are related to the ways of the old, of bard's storytelling related to nordic, celtic and germanic mythological saga, prose and odes. For the note: some of the mythological stories involve dwarves and gnomes, so its likely got adopted into modern fantasy literature -mostly- as is, seeing many dwarf species are indeed -more or less- modeled after an mixture of their norse mythology appearance and Tolkiens depiction in his works.
Dwarves in general, are depicted having an connection to the stone, warmth of the earth, and those who live above the land under the sky, towards the element of earth and sometimes wood even.
In wesnoth, its probably likely that an drake enclave worships the soul of the dragon they can trace back their roots to(if its deceased),
or be even dwelling in close vicinity and are in servitude towards that dragon(if its alive), worshipping it as an living god,
it may even be, if they identify one of the few dragons happen to be still alive and around an offspring of their ancestor and decide to serve it, making him into an minor god in their pantheon of dragons.
In all cases Drakes would feel some sort of connection to Dragons, and Dragons would have some sort of power over the Drakes.
This power could be related to Dragon's draconic nature, fe. being able to mentally dominate any Drake they encounter as the Dragon inherently 'knows' the Drake -but the Drake cannot, as he is not true Dragon-, as Dragon's blood giving them knowledge of each other and the Drake being related to an Dragon's blood, if not now then at an earlier age of Irdya. You can view this similar to how knowing an demons true name would give an mortal power over it when uttered towards him in the material plane.
As an Dragon is the embodyment of perfection, coupled with the fact Dragons could simply enslave any Drake if they rebelled would move the Drakes to get along reality and not question the Dragon, but to obey and accept it's 'guidance'.
Additionally, ancestor worship similar to that in ancient china seems also likely, seeing how drakes put an emphasis on living an proud life. Successful Drake ancestors would get venerated at shrines, such shrines being tended by Diviners and seasonal sacrifices -rather the Drake offering one of his belongings that matter to him than blood sacrifice- being made to. The spirits of dead drakes could get contacted by descendants of that Drake with the help of such Diviners at those shrines, after a period of meditation spent with the diviner.
Re: Orc, Goblin, Troll, Ogre
Its likely that orcs practice some sort of animist shamanism. Seeing how barely intelligent, almost animal species they are would make sense for an Orc to view the attributes of some animals as something to aspire to(an wild boar's strength fe.)
As such its likely their shamans craft charms and trinkets from parts of beasts, with which they can obtain otherwise impossible magical effects.
Trolls.. well the wesnothian Trolls are shown as dumb, or rather pretend to be towards outsiders as they do not care. Prolly are too free to care about spiritualism either. However, i think of them as being related to stone(similar to dwarves) and the element of fire(which i think gives them their regenerative capabilities). Ironically fire is also their vulnerability, as such it may be an fascinating concept to them.
Goblins are failed orcs. what they do worship depends on which dumb got to be shaman and what he deemed worthy of worship. So one tribe can worship and make sacrifices to the lvl3 direwolf they happent to be dwelling in the vicinity of, whereas an tribe of goblin within the horde can find shiny gold coins very spiritual things that must be piled up in front of an idol of the warchief. etc.
Ogres seem likely to worship their cooks.
Being creatures of the night, theyd prolly venerate the Moon -finding its light to be guiding-, similar to how lawful humans venerate the Sun. They'd also have something for the night-sky and it's stars.
Re: Naga and Merman
Naga and merman: I remember some references (by the merman) to a god in Dead Water. And it would seem like their god and the naga's god would probably be the god of the sea.
Seems an good idea, id say go for it. Additionally can make so that some large creatures in the sea are seen as avatars sent by this god, to aid them.
Probably Nagas got to know it as an vengeful deity, an Lord of Storms, whereas Mermen see it as an Calm Lady. This derived from facts such that Mermen prefer to dwell in shallow bays, whereas the naga prefer cold depths of the ocean, it seems likely the Naga would prefer to strike during the storm, when the sky gets clouded.
If you'd ask my opinion: Im for keeping wesnoth gods-free at all, as because look at whats happening with DnD and wotc in general currently: it has more gods than in Hinduism. Aint nobody got to remembrance and keep track of who is who and does what under which circumstance, so stories are at an point where gods end up doing everything for the protagonist, with him only moving between the points to facilitate the story moving forwards.
"You simply wave your hand and an miracle just happens, oops!"
I mean one would invent an deity, then somebody other, then another, and in the end you would get an huge mess that aint nobody got time for it.
Necromancers are self-serviant and narcistical, this does not change after they become Liches even. Id expect them to be entirely godless. Their viewpoint would be to dominate and control, not to serve and venerate.