I would have placed their affinity somewhere in the region of Titan or perhaps they're worshippers of Byregot & the 12?
I'm not too savvy on any of the lore really, so this is just utter ignorant speculation, but Eorzeans worship the 12 and not primals, but are considered of the same ilk (Gods). Wouldn't it be too hard to believe the somewhat civilised Goblins who work with Eorzeans in trade and craft to worship a deity of crafting and smithery?
(Byregot being a smith wielding a hammer)
*Shrug*