The Thalmor has been around since the Middle of the Second Era, during the events of Online, evident by an interaction with Queen Ayrenn and the Veiled Queen (I will quote correctly it later), regarding the Thalmor recently starting out. If the Thalmor were founded during then, they were most likely weak. A Greymarch happens at the end of an Era, meaning that Jyggalag would have returned by the time the Thalmor became more powerful.

Jyggalag, whose sphere is Order, has every reason to use the Thalmor as a tool to wreak unhavoc across Tamriel.  By 4E 201, the Thalmor are practically in control of Summerset, Cyrodiil, and (Possibly, if the Imperial Legion wins the Civil War) Skyrim. He could have successfully taken control of the Shivering Isles during the begining of the Third Era and given the Thalmor his guidance. Then someone mantled Sheogorath and vanquished Jyggy before the events of Arena, allowing Sheogorath's future appearances to make sense.