Ah, that explains the dwarf suggestion then, as they are the main worshipers of Torag. Humans would be the next closest thing (if you're particularly close to any NPCs you know) as they are frequent worshipers too. Depending on what your character is like, you might be able to identify with a half-elf based on the "between two worlds" angle that half-humans can have. Alternatively, if you can find one, another half-human might work (dhampir, aasimar, oread [people with earth outsider ancestry- might work for the association with torag, etc.) These tend to be rarer though.
A fey would be harder. Lawful fey include the norns, who carry the shears of fate (LN.) Good fey include nymphs (CG). Both may be significantly hard to get them to warm up to. If the GM really liked your idea of a dullahan (is he a fellow fan?), there's no reason why she/he couldn't house rule it as a fey either.