The earliest records show them worshiping a family of elemental gods called "The Fnel Family". They consisted of Fnel'Harjun the father, Fnel'Iniye the mother and Fnel'Rahd the son.
Legend has it that Fnel'Harjun was a wandering healer in the southern plains of Valorey who would travel from town to town, healing and generally helping people. This however spiked the interest of the nobles and dukes, so they hunted for him. The king of Crownberry (a southern kingdom) found and captured him. Fnel'Harjun was forced to work for the king as his personal healer, however, he refused to do so.

The king had him thrown into the dungeons until he changed his mind. While in the dungeons, Fnel'Harjun met a young lady, Fnel'Iniye. She was a young warrior, a prodigy really, but she was betrayed by her father and captured. They quickly fell in love and started plotting an escape. The king noticed their relationship and called for Fnel'Harjun. He discovered Fnel'Harjun's weak spot.

The king managed to talk Fnel'Harjun into being his personal healer, threatening to kill Fnel'Iniye if he wouldn't. Little did the king know that in all this time, Fnel'Harjun and Fnel'Iniye plotted their escape to the last detail.

One night, the king came from a battle with a massive, fatal  wound, and he had Fnel'Harjun mending it. Fnel'Harjun saw an opportunity and took it. He told the king that the healing technique needed the king asleep, so the king was put to sleep without the guards interfering. Fnel'Harjun healed the king as promised, but he snatched the key to the dungeons while the guards weren't paying attention.

He was then returned to the dungeons and locked up with Fnel'Iniye again. They were about to start their escape, but first, they started the holy ritual of tying the soul, also known as "knotting" (they still perform this ritual today), which meant that they will forever belong to one another. With that, their souls were eternally tied to each other, so they started their escape.

They used the dungeon keys to get out of their cells, and knocked out a couple of guardians. They took their weapons and armors. Nobody could recognize them in the dim light of the dungeons and they managed to get outside. By the time they got out, dawn was nearing, so they had to act fast. They stealthily got out of the castle and out of the town, and then they went east.

There are no records of what happened for a few decades, but the records continue their story 12 years later, when they were captured by the king of Crownberry again, in a small town called Bramoria, east of Crownberry. This time they were to be executed, along with their 9 month son, Fnel'Rahd. Their method of execution would be decapitation.

Before the execution took place, the king of Crownberry made sure that the Fnel family was humiliated. The records aren't very clear as to how they were humiliated, they just state that they were "utterly humiliated beyond torture". As for their son, Fnel'Rahd, he was covered in filthy, secured in place by rusty chains, with a chain attached to the shackles of Fnel'Iniye, and she was forced to drag him on the ground their whole trip towards their death. They reached the gallows after hours of humiliation.

Their decapitation technique would have the prisoner's hands tied to their backs, and quickly raised up, hanged by their hands, in most cases dislocating the arms. After that, the decapitation ensued with a swift vertical slash to the neck using a very heavy, broad, sharp ceremonial sword (inefficient in combat). If the prisoner wouldn't hold their neck in a horizontal position (and avoid the hit), they would be whipped by leather whips embedded in vinegar for a full hour before trying the slash again.

When they reached the gallows, the king of Crownberry, in an act of extreme violence, grabbed their 9 month son, held him sky-high and yelled: "I shall not be defied!", before throwing the defenseless baby on the ground. In a moment of rage, Fnel'Harjun's eyes became blood-red, and in a hateful, arrogant voice said "You and all your people will pay for this", his last uttered words. The king kicked and stomped the baby to death, just to spite him. A single tear escaped from Fnel'Iniye's sorrowful eye. Nobody noticed this, but the teardrop became a sparkling diamond before it hit the ground. After he had killed the baby, the king picked up his already cold body, and shoved it in Fnel'Harjun's face, constantly mocking his threats.

Fnel'Harjun didn't even flinch. His eyes were filled with rage, with a fixed, angry figured, he just sat there. The king grew restless and had the executioner finish him. Another tear flew down Fnel'Iniye's face, again becoming a sparkling diamond before it hit the ground. As though he hadn't been cruel enough already, the king had Fnel'Iniye ready for execution, but before the blow, he picked up Fnel'Rahd's lifeless body once more, took a knife from his belt, and cut the head off the baby. "You're next!", he said in an arrogant voice.

Fnel'Iniye started crying. She was crying blood, but somehow, even though she was heavily crying, she said in a very calm and soft voice "My death will begin yours". The executioner's slash hit her neck exactly when she finished talking. In an arrogant, and flat out sadistic act, the king grabbed the couple's heads and boasted about, as though he had accomplished something spectacular.

Just moments after that, there was a blinding flash of light! After the light came to pass, the skies were left dark, charcoal black. It became cold, and the wind started blowing. A heavy fog came out of nowhere. The people were all panicking by now, trampling over each other, but the gates wouldn't open, the doors were locked. Even more, they wouldn't break! The people were running around like crazy, guards throwing away their weapons and looking for cover. The king just sat there, paralyzed with fear, still holding the lifeless heads.

Then, all of a sudden, the bodies of the Fnel family spontaneously caught fire, even the heads! The king fell down and crawled away on his back, all the while being stomped and trampled by the panicked mob. Then, a few moments later, of a sudden lightning began striking the nearby buildings. It was no ordinary lightning, it was blood-red. The wind started blowing even harder.

The lightning strikes continued at an astounding rate, striking everything and everybody, in a seemingly random pattern, however, nothing so far caught fire from the lightning strikes. After a few minutes of random lightning strikes, a very loud and bright one struck the gallows, setting them on fire. After the flash of light, the silhouettes of three people could be seen standing near the smoking, fiery gallows. It was the Fnel family, with a rather toddler aged Fnel'Rahd. They wore very peculiar black, ragged robes, with their hoods on.

The three slowly raised their right hand, pointing their finger towards the king. "Innocent lives will be lost because of your crimes" they softly whispered, a whisper which, in spite of the chaos, was perfectly understandable. The king started cowering in fear and begging for his life. The three started walking towards the king, very slowly. The king was so frightened that he couldn't move. The three got to him shortly. Fnel'Harjun picked him up by the neck and took him to the gallows and prepared him for execution.

The king tried to struggle, but Fnel'Harjun seemed to have inhuman strength. After setting him in place, they went, one by one, near him, and looked at his kingdom.
"I will wash your crimes out of this place... smash them away!" said Fnel'Rahd, and a titanic wave of water came from the right side of the kingdom, destroying everything in it's path. Shortly after that, there was a rain of rocks and stone, from the same direction. Many of the people died or were left wounded after this, and most of the buildings were destroyed. Fnel'Rahd stepped down, and Fnel'Iniye took his place.
"I will blow away your crimes and shine light upon this dark, hollow place!" whispered Fnel'Iniye, and not even a moment after she said it, a very strong wind blast came from the left side, followed by legions of sandy tornadoes. Most of the people were lifted away by the tornadoes and crushed against the buildings and the ground. At the same time, there was an intense flash of light coming from the same direction, which blinded everybody that had their eyes open when it happened. Fnel'Iniye stepped down, and Fnel'Harjun came in her place.
"And I will make sure that this place will be purified from the filth that is you". Immediately after he uttered these words, he grabbed the king by his neck, while the other two ripped the king's hands off. Fnel'Harjun threw the king in the middle of the now ruined plaza, and raised his head to the skies, as well as his right hand. "It shall end now" he whispered, shortly after which Fnel'Rahd and Fnel'Iniye did the same. They all started shouting the same phrase, repeating it like a mantra of sorts. All of a sudden, there was a very bright, but not blinding, shine from above. An immense flaming boulder, as big as the whole castle, was slowly approaching the kingdom from above. They kept repeating the phrase over and over, faster and faster, when suddenly, they all shouted "NOW!", in an almost demonic voice, and lowered their heads and hands towards the wretched king. The boulder fell on him, exploding and razing everything. All of Crownberry was razed to the ground in that event.

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These legends, however, have numerous loopholes and historical flaws and inaccuracies, here are some of them:
-There are no records, outside of these documents, about a "kingdom of Crownberry".
-Bramoria is a kingdom in the northwest of Valorey, which is not at all "east of crownberry".
-In a specific location in the southern part of Valorey, there is a huge, desolate crater, which is thought to be the inspiration of the legends. However, there are no evidence of there ever being any kingdom, or any structures for that matter there.

These legends seem to mostly be attempts at inducing an organized civilization-wide religion on the Dai Loo, since several factors and events are exactly the same as ritualistic events within the Dai Loo, which aren't present in any other culture. These are:
-The execution type.
-The dragging of the infant.
-The tears turning into diamonds. (as described in older Dai Loo legends)
-The "knotting" ritual.
-The black robes worn by the Fnel family after their sudden reappearance. (Dai Loo burial clothing)
-The catching fire of the bodies. (older Dai Loo legends describe this as an omen of revenge)
-The coupling and personalization of the elements: The water and earth couple is seen as an infant pair, the wind and light couple is seen as a motherly pair and the fire and lightning couple is seen as a fatherly pair. (these were elemental beliefs of the Dai Loo before the recent studies of Arctorum and the new categorizations)