The empire was about to execute me so why would I side with them? Besides the only other dragonborn we know about so far is the leader of the greycloaks. Divine providence has made the choice.
He's not Dragonborn. The Greybeards can Shout, but they aren't Dragonborn. Normal people can Shout if they study, and practice enough.
Plus, I think the Empire is the best for everyone. I talked to this one guy in Windhelm, and he said that Ulfric doesn't do anything for non-Nords. If a Nord gets robbed, he's the first one to send people out, but if a Dunmer gets robed, he won't do anything.