Are there any books on The Nerevarine (the hero in Elder Scrolls 3) or any of the other events of Elder Scrolls III? Where can I find them?
Unfortunately, no, there is very little canonical information of any sort as to what, exactly, happened during The Elder Scrolls III: Morrowind. This mostly comes down to the fact that there were multiple ways to complete almost every part of the main quest, so any canonical information would be necessarily incorrect for some players, aside from the broadest of details (which are certainly canon, and do come up in dialogue in places, just not in the books).
There are a number of related books, though. Battle of Red Mountain covers some of the origins of the Nerevarine, Nerevar Moon and Star covers the more tribal view of the Nerevarine, and Five Songs of King Wulfharth also covers the battle. All three offer different viewpoints, which conflict somewhat. The Dragonborn expansion also adds Nerevar at Red Mountain.
The closest you can come to a book about the actual events of Morrowind seems to be either of The Reclamations or the two volumes of The Red year, which are all set in the year 4E5, five years after the events of Morrowind, and cover the effects of the meteor impact that hit and devastated the province.
Basically not, but there's the Books, Books, Books mod which fixes this by adding ~200 books from the previous TES games (including but not limited to Morrowind)
http://steamcommunity.com/sharedfiles/filedetails/?id=15024 (It's called v2 here since the original upload apparently could not be updated)