A theory that I have not heard before, and which would explain Jyggalag's absence in the Fourth Era. It also has the advantage of being effectively impossible to disprove. Any evidence to the contrary can easily be dismissed by invoking Sheogorath's madness.
However, it strikes me as unacceptably boring. Just another mad prank of a mad god. I find the internal struggle of Jyggorath's impossible mind much more compelling.
As for Lady Nerevar's theory on the nature of Arden-Sul...well, I am uncertain.