What do you think will be the end of the story? How will Beth finish off the character of The Dragonborn? Especially with all this "Last Dragonborn" stuff. What do you think will happen?

He'll probably disappear to some place and will be explained in the next game.

Never played Morrowind, but the Nerevarine went to Akavir.

The Champion of Cyrodill became Sheogorath.