I am quite certain none of the player characters were Shezzarines. The thought of Sheogorath being Lorkhan is amusing, however.
I know for a fact that the Champion of Cyrodiil is, at the very least, Pelinaline, which would make him/her Shezarrine by proxy. Mind that Knights of the Nine, Oblivion's MQ and Shivering Isles are all canonically done by the CoC.
S/he follows the steps of Pelinal Whitestrake closely. The Champion of Cyrodiil, borne into the world a Padomaic, emblematic of great change, is the insane champion of a Dragonborn emperor foreseen previously in the dreams of one, who has significant ties to Akatosh and defeated Umaril the Unfeathered. Yeah, this is all pretty familiar.
Sheogorath being Lorkhan isn't exactly unimaginable. The two have very close ties, both being
extremely Padomaic, both being associated with serpents (Sheogorath perhaps being the unstars themselves that make up the constellation), and yet both having strangely opposing goals (again, tying in to the Pelinal similarity--Pelinal was insane due to his close ties to both Lorkhan and Akatosh, whose spheres and goals are opposing). Jyggalag himself has goals completely opposite of Lorkhan. Lorkhan saw the tower and wished others to have free will--mortals, that is--so they may reach CHIM and Amaranth beyond. Jyggalag hates the entire idea of free will, as that is Sithis, which he hates.
I wish I could write about Elder Scrolls lore without sounding so obtuse, but the terminology I have to use tends to require entire essays of themselves
Hey, if I want to worship a rock, I'll worship a rock and you can't stop me. Kynareth be damned.
Although now I want to know how TES lore has separated souls and spirits. Souls can't do anything but spirits can? Is "soul gem" thus a misnomer or are spirits transformed into souls upon being trapped? I think some definitions are in order to make sense of it.
By "spirit", I mean Et'Ada, the spirits that became Aedra and Daedra and Earthbones and Mortals. They are of a lesser subgradient than Sithis and Anui-el.