... is the player character from Oblivion!
Think about it. At the end of the Shivering Isles you replace the prince of madness. During the conversation between Sheogorath and Pelagius the Mad he says this.
"You are the best Septim that's ever ruled. Well, except for that Martin fellow, but he turned into a dragon god, and that's hardly sporting...You know, I was there for that whole sordid affair. Marvelous times! Butterflies, blood, a Fox and severed head... Oh, and the cheese! To die for."
The Original Sheogorath wasn't there during the end of the main story in Oblivion, but the player was! The fox refers to the gray fox and the severed head refers to the Dark Brotherhood.
Also accoding to the Elder Scrolls wiki, in the Shivering Isles, Sheogorath says to the player, "I can see it in your face... mostly in your eyes. I may take those from you when all of this is over." In Skyrim, Sheogorath is blind.


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