Nobody actually worships Jyg that I know of.
This is why I think SI was a story to make the CoC insane. Jyggalag would have had followers at one point. And, if not, he would have at least had stories. I mean, there's many gods that have disappeared, yet we know of thier stories.
The Leper King before he was cursed (even though he's Dagon)
Lokhan / Shezzar / whatever
Most of the Aedra
The other guy in the Leper King story (I forgot his name)
And many more
My point is, everyone has some kind of story, no matter how unknown they are. Personally, I actually think this is more in-depth, and in character of Sheogorath, than the CoC simply becoming a god. Sheogorath is known for complex plots that are just to make someone insane.