Strictly speaking, they don’t. A few of the small communities might have beliefs of their own that they hold to, much like humans have many different religions, but there is no overarching mythos that they ascribe to.
This lack is tied into how they came to be, and that will be touched on in a future BA story 😉 The origin of the so-called borrowers will be revealed.
Thanks so much! Comments like this brighten MY day! : D