If you end up in the realm of your personal diety, would it be possible that some of the people in Shivering Isles are there because they died? If so, were they reincarnated there as someone else, or reincarnated as themselves?
So would be possible, hypothetically, for when someone dies, they go into the dreamsleeve, or a god can take their souls and put them in the god's realm? Like how Manker Camoran manages to take the souls of his followers and put them in paradise, by using Dagon's power as a god?
I hope that makes sense.
It's not just the Daedra, the ghosts of the Blades and the Knights of the Nine said that they go to Aetherius.
As for the Shivering Isles, those that commit suicide in the Shivering Isles are condemned to walk the Hill of Suicides until their skull is returned to them. Although I wouldn't be surprised if people got reincarnated there, being the chosen of Sheogorath.