So perhaps when Lorkhan' heart was ripped out, he actually became Jygallag. The loss of his heart (signifying his hopes, dreams, emotions, etc.) created an empty shell, and what was born was unquestioning order. The princes then knowing who he was, decided to curse him as Sheo to create a divine-amnesia to prevent his return. ? .
That's kinda' what I was thinking. Which makes even more sense considering the myth-echoes chased by the PC in Oblivion. If you consider Knights of the Nine, then Shivering Isles, from the perspective of Lorkhan being both Jyg and Shezzar, then you have a PC who is an aspect of Lorkhan echoing the fate of Lorkhan through his actions.
And, no I wasn't saying Jyg is Lorkhan, but rather part of what's left of him. Right, you have, as Mort said, the moons, which would be his body. You have his spirit or essense constantly cycling through Nirn in the form of heroes. You have his heart, which the anchor of his divinity, inside Red Mountain (the greedy man hid under the mountain
so possibly the skeleton that Dagoth Ur was using was his as well) And then, you have his divinity, or part of it, funnelled into a Daedric prince of order. They're all pieces, and the whole is greater than the sum of its parts. So... yeah.