The exact nature of Elune is completely unknown, save that she has been canonized one of the few of the Warcraft universe's deities. She has never physically appeared on Azeroth - her appearance is more imputed on her by the Night Elves as her primary worshipers. She does exist (or a force answers prayers made in her name) as she has acted on the world or individuals on it at different times through history. She protected Tyrande with an impregnable barrier of moonlight during the War of the Ancients in response to Tyrande's prayers for her aid, and she interceded in Ysera's death in Val'sharah and restored the Tears of Elune from its corrupted state.