That is what going to the alligned AE means. AE is an Ehlnofex word (they are written all in caps) denoting connection or similarity, as in ALMALEXIA AE SIL AE VIVEC.
You can view a soul as a small fragment of magical spirit, while a god or Daedric Prince is a large one. If you spend your life doing things the way Peryite would do them and furthering his interests then on death your soul we be like a small Peryite attracted to the bigger one.
If a soul believes his role in life is to be a Dragonborn, to safeguard the world and in effect act like Shor then on death his soul would have no problem finding Sovngarde, especially with the open invitation you get from Tsun (Stendarr).
It's not all as clear cut as many a god would have you believe, individual choice and actions matter for more than a divine claim.