I recently read in an interview with Haskill that he was a Vestige of a mortal who mantled Sheogorath. What does this information mean? That the CoC did not end the Greymarch as was first believed?

I think it may mean that he was temporarily running the Isles as a pseudo-Sheogorath during a previous Greymarch and lost the job when the Greymarch ended and Sheo went back to his usual self.

My theory is the following:

1. During each Greymarch a mortal champion is chosen by Sheogorath to mantle/become him.

2. Only a few of the champions have ever succeeded in doing so.

3. At the end of the Gremarch the new Sheogorath faces of against Jyggalag in battle. No Sheogorath has ever succeeded in defeating Jyggalag however.

4. Because he is not defeated Jyggalag reverts back to Sheogorath at the end of the Greymarch. What happens to the mortal champion however is up for debate. They are no longer Sheogorath, but also cannot be considered to be the same mortal they once were. Thus the mortal champion has no real identity and thus "breaks". Only fragments of the mortal champion remain, either as stories and legends (Arden-Sul) or as physical beings (Haskill).

5. The Champion of Cyrodill is the first mortal champion who not only succesfully mantles Sheogorath but also succesfully defeats Jygallag at the end of the Greymarch. Thus at the end of the events of Shivering Isles Sheogorath and Jygallag are no longer the same being.

Can you link this interview please?

Here is the link: http://www.elderscrollsonline.com/en-us/news/post/2015/06/12/loremasters-archive-an-interview-with-haskill

My personal belief is the CoC wasn't the first champion to beat Jyggy and this cycle happens all the time with Jyggalag thinking he is free but really he is just going to return to being part of sheogorath. I base this on Lady_N's essay found here http://www.imperial-library.info/content/arden-sul-1

I think that this fits best with the trickster god. When Sheogorath is involved everything is a trick, there is no honesty or truth to what he does but there are honesty and truth in the actions he gives others. Sheogorath would find a way to trick Jyggalag into believing he is free once beaten at the Greymarch because that's what Sheogorath does. He tricks people.