What do Blood elves worship

Nothing

They hunger for magic due to their source of power being corrupted by Arthas, this has led them to develop a plethora of techniques to extract magic from other sources and beings. This is represented in game by the large demonic crystalline structures which they draw power from.

The idea of the Blood Elves wielding holy magics is derived from the fact they have enslaved a Na'aru underneath their capital city; a being of pure light which they have enslaved to their will, whereas other races paladins draw their power by request, the blood elves extract it by force.

The initial blood elves in the storyline featuring Prince Kael'thas followed Illidan because he was a source of immense magical power, they did not actually worship him.

They are driven purely by their thirst for magic, and will enslave or obey man, beast and god to get it.