In the events of Skyrim we see that the CoC became Sheogorath and took up his mantle, if this is the case it stands to reason that Jyggalag is now free. Is Jyggalag now free to roam the planes of oblivion and if so why haven't we heard of or from him in skyrim? It seems likely this is the case since it's heavily implied the CoC was the first to successfully end the cycle.