Contemporary sources indicate that his [Sheogoraths] roots are in Aldmeri creation stories; therein, he is 'born' when Lorkhan's divine spark is removed.
As the process of subcreation continued, both Anu and Padhome awakened. For to see your antithesis is to finally awaken. Each gave birth to their souls, Auriel and Sithis, and these souls regarded the Aurbis each in their own part, and from this came the etada, the original patterns. These etada eventually congealed.
(...)
As time allowed more and more patterns to individualize, Lorkhan watched the Aurbis shape itself and grew equally delighted and tired with each new shaping.
(....)
Now Lorkhan had by at this point seen everything there was to see, and could accept none of it. Here were the etada with their magic and their voids and everything in between and he yearned for the return to flux but at the same time he could not bear to lose his identity.
(...)
All of these representations [of chim] possess an innate and constant aspect of transformation.
Finally the Chancellor of Exactitude appeared, and he was perfect to look upon from every angle. Vivec understood the challenge immediately and said:
'Certitude is for the puzzle-box logicians and girls of white glamour who harbor it on their own time. I am a letter written in uncertainty.'
(...)
This magic I give to you: the world you will rule is only an intermittent hope and you must be the letter written in uncertainty.'