But we know differently. We know because we experienced the content. We were the CoC. We went through the portal and we defeated Jyggylag, taking the throne and ruling the realm. And now that we see Sheogorath in Skyrim, it's not only poignantly clear, it's painfully obvious that the CoC is Sheogorath.
As I said, it is likely and plausible.
But it should not be seen as
fact.
TES lore simply does not work that way. There is a certain amount of ambiguity involved in everything.
All we can say for certain is that these events happened, not who they happened to.
If the CoC had chosen not to go through that portal, it likely would have been someone else.
And that is the point, we simply dont know to any degree of certainty.
How the game plays is in this completely irrelevant, as the game is not the world.