It would be quite insane, of course, and that was the whole point of the story. That madness cannot be conquered, that madness always wins in the end.
Shivering Isles doesn't have a moral. The whole story was just the developers going "Hey Sheo's place would be pretty fun and lets explain that Daedric Prince who only appeared in one book".
Sadly I'm of the opinion the Lady Nerevar is right on this topic.
I want nothing more than a DLC/expansion where Jyggy after 200 years planning for every eventuality in the void, decides he's got his sh*t together, concludes he likes the look of say, Clavicus Viles realm then launches his attack. Jyggy enlists you as his champion on the ground to help take over the Realm or Clavicus Vile/ enlists you as their champion to repel Jyggy's attack. The latter may be too close to SI, and the first may be lacking in imagination, I just don't want to see Jyggy folded back into Sheggy that's all...
That would be pretty cool.