What threat(s) would it be defending Skyrim against?
Whatever threats the collaborative group decides to invent.
In a way, technically, you are not joining a faction in the sense of joining the Stormcloaks or the Legion. The Mountain Fortress where the collective of NPCs who care more about Skyrim than the politics that drive other organizations, would be sort of a centerpoint for whatever activities would fit a politically neutral collective.
What if there is a bandit chief who decides he wants more than leading a gang of bandits and has his interests in taking advantage of the Legion focused so much on the Stormcloaks. With the Empire's strong-arms engaged in other matters this wannabe warlord bandit chief could start terorizing people. The Collective (which I am calling the organization for want of a better name) would make it their business to deal with this growing threat. Both the Empire and the Jarls would consider the elimination of any bandit ring to be a good thing, so neither would get in the way.
What if some well-off merchant is secretly a collaborator with the Thalmor putting the well-being of Skyrim's people at risk. A Collective assassin would be a good way to solve the problem.
Technically, the Collective could be scattered all over Skyrim. But in times of need, key members would meet somewhere. The Mountain Fortress is the answer to the question of where that would be. It could not be left unoccupied. If it was, it could be found by unsavory sorts and used against the people of Skyrim, so a permanant presence is maintained. But now with the Dragons returning and war on everyone's doorstep, the need to be organized and prepared is great. So members of the leadership of the Collective are there.
I thought to include a fortress because people like new places to go that are tied to content, and it is a plus if you get to call part of it home... And creating some regular characters who are re-usable as questgivers and giving them a home there makes sense. The Legion has Solitude. The Stormcloaks have Windhelm. So the neutral non-faction has this cool fortress.
The backstory of the fortress could be something like hundreds of years ago it was the home of a powerful gang of outlaws. The first Collective members banded together to do something about them by striking at their source. Using magic and stealth as well as brute force, the Fortress was overrun and the outlaws there destroyed. It was the first and last time that the Collective allowed their enemies to get away with a raid unchallenged, but when the outlaws returned home with their spoils, they were welcomed by the collective, slaughtered and their spoils returned to where they were taken from. The mayor of the town that was raided was one of the Collective's founders.
Of course, details could do with some fleshing out, but I just came up with that on the fly.
No there are a lot of threats:
Vampires, Bandits, Undead, Thalmor, Dragons... All perfectly valid for the purposes of the Collective...