Yes but the last character became
Sheogorath at the end of the shivering isles
It's also possible that he didn't. If you played the main quest but never decided to go to the Shivering Isles, then it's not you. At least I don't think the guildmaster of the fighter's guild, arch mage, grey fox, and listener necessarily had to be the same person. All that's for sure is that someone carried out each of those duties, whether you decided to roll a hero, villian, or something in between.
There's only one person who knows the truth, and he's crazy. He may have been there during the whole Oblivion Crisis, but he never definitively said he was CoC