I personally like to think that it's one of the characters we made from the previous games (i.e. the Nereverine or the Hero of Kvatch).
Hero of Kvatch = Skyrim's Sheogorath
And who's to say the Nerevarine might not be the Dragonborn? The Nerevarine is unable to die of old age anyway.
But I got a friend from inside a nordic ruin once. That was full of drauger.
And mine traveled with me to the Throat of the World, to Blackreach, to the deepest room of Avanchnzel, etc. Because it was once at the TOTW, I started assuming it was a shy P'nax or a sneaky greybeard. They're at least able to know when you use a shout since they called on you.
Or it's the courier himself. People have noticed him running out of a lift to Blackreach anyway.
