Lorkhan was a chaotic Aedra. Jyggalag was a lawful Daedra. Lorkhan's body was destroyed by the other Aedra. Jyggalag's mind was destroyed by the other Daedra. Lorkhan was mantled by a mortal, Talos. Jyggalag's mad half was mantled by a mortal, the CoC.
They are linked, like Anu and Padomay. If Lorkhan was an attempt by Sithis to undermine the Aedra, Jyggalag was Anuiel's attempt to do something similar to the Daedra. However, unlike Lorkhan, Jyggalag came back.

Think of the Greymarch as being the end of a Kalpa. Jyggalag's mind broke free from madness temporarily. Thus, Lorkhan will rise from the dead, and instead of destroying Nirn create a new one. But it is mentioned that Talos's presence stabilizes Nirn. So I believe that if the Kalpa passes right, Lorkhan would return but Talos would prevent its destruction.

This is all very unlikely, of course. But I've had the idea of Jyggalag being an anomaly since I first heard about him.