Would it make sense in lore, to go complete Knights of the Nine, become a Divine Crusader, and then go become Sheogorath?

Would that annoying priest in Whiterun just pack up his bags and become Molag Bal?

I want to do a lore accurate playthrough of Oblivion GOTY, and this doesn't make sense.

ya the orginal divine crusader was nuttier than a violent bed bug. Only makes sense that his reincarnation/mantler would be just as crazy

It makes perfect sense. You're the reincarnation of Pelinal Whitestrake, who was completely insane (I would suggest reading the Song of Pelinal). From time to time, the guy would black out and go on unstoppable bloody rampages so intense that only divine intervention could bring him down and vast swathes of land would be reduced to literal nothingness in his wake.