She's an Altmer Mage called Elewen. She's high-ranking in the Mages Guild, and has even aided the Empire in its war against the Daedra.
After the end of the Oblivion Crisis, she settled down for a long time in Chorrol. After a few decades, she felt fed up, feeling that her life was complete. She gave away all of her money and wealth, and went for one more adventure.
She traveled North (she did love the snow) and decided to go to Skyrim, to see more of the world. On her way there, she passed a few shady-looking characters, but otherwise her journey was normal.
Suddenly, an ambush of Imperial Soldiers seized her and hauled her onto a prison cart, along with other prisoners. She quickly noticed that they were the people that she had passed on her way to Skyrim.
Thus starts her adventure into Skyrim. The rest mainly consists of her surviving the attack on Helgan, finding out that she is in fact Dragonborn. She also joined the Mages Guild, finding herself completely at home, and absolutely satisfied with life. Well, until the Thalmor came and messed things up for her. She despises the Thalmor, having been born in Cyrodiil and aiding the Empire against the Daedra, while her kind in Summerset did little to aid the Empire.
She then sided with the Empire, seeing the bigger picture (the second Great War coming) and was also rejected by the racist Stormcloaks.
So, that's her. Would this role-play work? Does it sound feasible, or entertaining?