Moonmover - I hate to burst your bubble, but The Shivering Isles is not the first mention of Jygalag in the lore.
He is mentioned in http://www.imperial-library.info/mwbooks/onoblivion.shtml:
The Daedra princes whose names appear over and over in ancient records (though this is not an infallible test of their authenticity or explicit existence, to be sure) are the afore-mentioned Sanguine, Boethiah, Molag Bal, and Sheogorath, and in addition, Azura, Mephala, Clavicus Vile, Vaernima, Malacath, Hoermius (or Hermaeus or Hormaius or Herma -- there seems to be no one accepted spelling) Mora, Namira, Jyggalag, Nocturnal, Mehrunes Dagon, and Peryite.
Note that while Jyggalag is mentioned here, Meridia is strangely not. However, she may have become a Daedra later in time, like Arkay became a Divine later in time.