I'm pretty sure it's him because he said that he was there when the Emporer turned into a dragon. Also after a while being crowned Sheogorath, you would change yourself in one way or another to properly fit the role of Sheogorath. i.e. Oblivion's Sheogorath had grey hair, talked crazy, and had a set of clothes that are unique, this Sheogorath might of thought of the last one as inspiration?
I don't know much about lore, but this is what I scrounged up from in-game.