Yes, definitely!
"Traditional" sort of last names for Nord characters (Unni Thorolfsdottir, Bjorri Ragmundsson...)
"classical" Roman-style last names for Imperials (Tacitus Patreia, Pilus Valgus...)
Catalan or French/Spanish (??) sounding names for Bretons (Etienne D'orval, Alessandra Mortierre...)
guttural-sounding names for Orcs, usually with a moniker describing an attribute or deed ("Urgaz Broken-tusk", "Grummbash One-eye"...)
I like to use a naming convention for Argonians like "Seven-Laughing-Crow", "Yellow-Running-Fox"; something that evokes a tie to the natural world (kind of echoing Native American cultures)
Bosmer, Altmer and Dunmer I tend to use more lyrical sounding stereotypical Elvish names (Eylianna Tiirendil, Malleus Ormien, Vilenthus Aeril...), tinkering with them depending on which race they are
Khajiit tend to be single names without surnames; not sure why (Ma'jindro, Ja'lipp, Khe'fet...)
Redguard tend toward "Arabic" or Middle Eastern patterned names (Halbarad il'Fassim, Muhabar Ir'ben...)
Probably not all that lore accurate but in terms of some RP immersion, it's what I like to do