I was playing through this game and realised, not one bit of it made sense. Not the beginning, or the end, or anything. Im betting that your character goes completely insane the moment the enter the room made of butterflies, or maaaaybe in Passwall. And they're probably just a screaming lunatic by this point.

Well, it all makes sense actually, more so than most people ever consider, but it is part of Sheogorath's Madhouse. It's supposed to give the feeling of insanity.

The entire story and what it represents in TES lore makes perfect sense though.

Some of the fashion choices on the other hand . . .

It would be funny if everything after entering the portal, or getting into the realm proper, was a mere figment and your "real body" was running around frothing the entire time. This wouldn't even preclude your actions in the Shivering Isles from being "real," but simply separated from your body. I don't think this is actually the case, but it would be interesting.

At first it seems to make no sense, but later on it starts to seem to make sense. Then you're thinking, wait a minute, madness isn't suppose to make sense... etc. Such is the nature of madness...
I recently started the SI quest line again and thought it made sense that you are to stop the Greymarch, but playing it this time through, I realize it's Sheogorath who gets the player to start it in the first place. Or at least the "A Better Mousetrap" quest makes me wonder if activating the Attenuator of Judgment isn't what starts up the whole Greymarch (energizes those crystals of Order scattered throughout SI).

What doesn't make sense?