If you played Oblivion, than you know that your character becomes sheogorath at the end of the shivering isles. Well in Skyrim, Sheogorath will say he "was there" for the Obliviob crisis, and I forget right now, but I think he directly said Martin's name.
He also has messed up eyes, which could somehow be a reference to the Oblivion Sheogorath saying, "ta ta, do visit again, or I'll pluck out your eyes!
Is there any confirmation on whether or not he is the Hero of Kvatch?