but I thought it was more or less a temp thing and the real Sheogorath would take back their title at a later date.
Every few thousand years he takes it back from himself*. Skyrim is only 200 years from Oblivion.
*Or well, he did. He (Jyggalag) doesn't need to anymore since he is released from his prison that was Sheogorath. I'm not sure if the Greymarch would happen anymore, then again, there's still a few thousand years to go!
Well he certaining isn't my character, my character was an Argonian...he's missing the scales and tail.
That's the thing though, Sheogorath is a Daedric Prince. They can shape themselves into anything they will. Gender is meaningless too.
As well as this, Bethesda purposely keep the gender, race, etc. of previous characters hidden because that is purely dertermined by the actual player, the rest (i.e. canon) are the only things they keep in lore (such as the Nevarine killing Almalexia.)