TECHNICALLY, no sun means no aurora. Because the northern lights are caused by solar wind, which is of course given off by the atmosphere of the sun. So, yeah.
On the other hand, screw that. Auroras are beautiful and otherworldly, and immediately signal that you are very far north (or south) and likely in a cold, icy climate (since they are more visible during the winter, and in the dark, they...fit). Why not let our lighting people have one thing other than fire and starlight to work with? And why not give the elves something to marvel at in what threatens to be some monotonous slogging through scenes?
Also, aurora is *exactly* the type of phenomena that has a story in myth. There's some reason or cause for it in the stories, because something like that happens, and people are going to comment and think about it. Dancing green lights in the sky? Gotta mean something. So I say it fits. It fits with what we want to be a magical-yet-natural story.
So I say we go for it.