Ok so to get things straight:Lord Osgumund was an undercover Thalmor agent in Eastmarch, watching the Talos worshiping populace and giving reports to Elenwen on their movements, and waiting for her orders to kill them. After the Stormcloaks kicked most of the Thalmor out of Skyrim, save a few undercover agents like himself, possibly Elenwen, and High-Seer what's his face, Lord Osgumund was sent to Solitude to keep an eye on Ulfric. And THAT'S where my character starts, no?
No. The Thalmor are out of Skyrim after the victory, and eastmarch is the last place you'd be to investigate talos worshipping populace. They all are talos worshippers.
I don't want to write your personal CS, but to save headaches, I'll make an idea of what it could be like. You can take it if you want. If not, you may want to just make a new thalmor character idea.
History: During the civil war, you were the ambassador to (insert imperial hold here). From that hold, you organized the talos worship hunters in Skyrim. They brought the soldiers to you and you (insert whatever you want), occasionally going on these raids yourself.
Currently: You are with the imperial inquisition.
Like I said, it's your CS, so you don't have to do this, but being undercover in Skyrim after the stormcloak victory won't work, and being undercover in a stormcloak hold during the civil war wont work.