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.
An interesting thought, but thankfully non-canon. In the canon Sheogorath was mantled by a mortal, the first Daedric Prince to be mantled by a mortal.
It would make SI rather pointless if Sheo was expending all that effort to make one mortal insane, regardless of how pivotal that mortal was in Nirn - the effort and the scope of the venture is rendered pointless by your idea.
Also, Daedric Princes don't need worship, that's why they are Daedra. They are primordial concepts given form, they preceed Nirn and its mortals and further, removed themselves from the constraints of Mundus (thus not needing the worship of mortals, as they had no hand in their creation).
Daedric Princes for the most part shouldn't even care for their worshipers, but I suspect they do out of whim, amusemant simple desire to possess something of Nirn? But they certainly have no need for worship or worshippers, unlike the Aedra they are not tied to the will of mortals.
Lastly, and certainly most importantly, Jyggalag is new to the Lore, any past absence of his name in the lore is not an indication that SI "was all a dream", unless you disapprove the idea of new stories, and new characters in the Elder Scrolls pantheons?