The luminescence efficiency of AlxGa1−xN quantum dots (QDs) and quantum wells (QWs), buried in AlN cladding layers and emitting in the ultraviolet range between 234 and 310 nm, has been investigated. The growth and optical properties have been done using similar aluminum composition (varying from 0.4 to 0.75) for both QDs and QWs. In order to compare as much as possible the optical properties, the QWs were fabricated with a growth time tuned such that the QW width is similar to the average height of the QDs. The photoluminescence (PL) showed emission ranging from 4 to 5.4 eV, putting into evidence differences in terms of full width at half maximum, PL intensity, and asymmetry of the line shape between QDs and QWs. The results show shorter wavelengths and a slightly narrower PL linewidth for QWs. To determine the light emission dependence with the electric field direction in the crystal, the evolutions of the emission diagrams for all samples were recorded along two orthogonal directions, namely, the “in-plane” (growth) and the “on-side” directions, from which the light emission was collected. For the whole QDs and QWs samples' series, the shapes of the emission diagram indicate emission in both in-plane and on-side directions, as evidenced by intra-valence band mixings caused by strain effects combined with the anisotropic Coulomb interactions that are particularly contributing to the polarization at wavelengths below 260 nm. Furthermore, the degree of polarization, determined for each sample, showed good agreement with results from the literature.