Question: is sheogorath your character from oblivion?
Answer: In the Shivering Isles expansion, you find out that the current Sheogorath is actually the Daedric prince Jyggalag. ... So that means the Sheogorath that you meet in Skyrim is acctualy your oblivion character, not only by the events that happened but from all the references that he says during the quests.