>>530189027
>They are the Anti-Gears that turn counter to the Nameless Will. Servants of the Padomaic untruth whose nature is void. Of the Daedra, only the Gray Prince of Order knew his nature, and he went mad in the knowing.

The way the book interprets this and later events is that there was once Jyggalag, but he gained so much knowledge of the Aurbis and his own nature that he went mad, permanently becoming Sheogorath.