User blog comment:JAlbor/Wikia at E3 2012/@comment-5018658-20120525125513/@comment-5915494-20120527115131

Not all incarnations of Gods require vessels to appear on Nirn, as such is the same with transforming a vast source of power is required. Nocturnal could only appear briefly to the player in her own shrine after the skeleton key, a source of power, was placed back in the shrine. This allowed her to appear, for a time, in the world of Nirn.

Sanguine is an odd one, appearing on Nirn without any visible source of power to anchor him there or a suitable vessel. It could be that his vessel was actually Sam Guevenne, after which he returned to his shade of Oblivion (Misty Grove) where he appeared in his normal form to the player at the end of the questline. His source of power in this is most likely the same as Boethia, where by the player has performed acts (such as debauchery) of which are part of his domain, thus empowering him.