As we all know, Boethiah ate Trinimac and pooped out Malacath. But where did Boethiah defecate? He is too much of a jerk to use a toilet, so he probably pooped it on someone's bed. Jyggalag, being the Daedric Prince of Order, would be Boethiah's natural enemy and thus the most likely recipient of bed-poop. After Malacath crawled out of the pile of dung to have a shower, Jyggalag went to bed unaware of the consequences. When his head touched the feces on the pillow, his neat freak mind shattered, and he became Sheogorath. Once every thousand years he would forget about this, turn back to normal, and start a Greymarch. Then, exhausted, he falls into bed, only to once again feel that squish. When the Champion of Cyrodill becomes Sheogorath, he breaks the cycle by defeating Jyggalag just when he is at the palace, eager to go to his bedchambers after a hard night's ordering. The Champion of Cyrodill, not obsessed with cleanliness like Jyggalag, simply is disgusted by the state of the bed and sends the sheets to his palace servants to wash.