The time is near the end of the Oblivion Crisis, just before the Champion closes the main Oblivion gate and saves Tamriel. The main character, a devout worshipper of Azura decides to make a pilgrimage from deep inland Morrowind to Cyrodill to fight against the Dremora/Daedra hordes a month or two before the Champion ends Dagon's war. He enters an Oblivion Gate he finds on his travels and while inside it the Champion closes the main gate. Then the main character is stuck in the pure raw energy of Oblivion, drifting around until he finally is absorbed into one of the infinite worlds in Oblivion. This specific world turns out to be the world of Warhammer Fantasy.
Keep in mind, all of this will be written out in story, including his journey to Cyrodiil. Would you want to read this story as I write it?