Board Thread:Lore Discussion/@comment-16375955-20130824112156/@comment-25146201-20130826182255

It is openly said that we broke the cycle, and while Sheo and Jiggy are the same (until the Shivering Isles questline) in body, they are not the same in mind. So what ultimately happened is that the Hero of Kvatch broke the cycle of tranformation by taking on the mind of Sheo and allowing the mind and body of Jiggy to separate itself from Sheogorath and the Shivering Isles. This would have left Jyggalag without a home as his plane of order was turned into the Shivering Isles. He left to wander the "seas of Oblivion" at the end of the story-arch. Neither Sheo nor Jiggy ever actually died at any of the Greymarches, they simply traded places, and Sheo was being weakened (I think) each time he had to remake the Isles. This is why he needed a champion, and why he remembers all from before and all since as his mind invaded the mortal frame of the Hero. When the Hero finally died from whatever cause it may have been, he made the final transformation into the planes of Oblivion.

As said by PT.