Board Thread:Lore Discussion/@comment-35782287-20190126232942/@comment-36624824-20190623161428

You could make it so some other adventurer became Sheogorath. Also on the page about the HoK, it states "Another theory contends that Sheogorath's many Tamrielic disciples informed him of the events." I firmly believe that he was either informed he was watching Tamriel over the events of Oblivion. That way, your character doesn't have to become Sheo.