I think I just realized something.
You know how Sheggorath is called the ‘Skooma Cat’? It’s pretty easy to assume that this is because lolyeah skooma is fantasy crack and makes you act crazy, and it would jive with the rest of Elsweyri mythology which makes a lot of comparisons between the supernatural and the mundane from what I’ve seen.
I was thinking though, and I don’t think the khajiit would think that way. moon sugar and skooma aren’t ‘fantasy crack’ to them, it’s a sacred material that grants visions from the moons/Lorkhan.
Therefore, it’s possible that Sheggorath is called the Skooma Cat, not because skooma screws with your head, but because they recognize Sheogorath’s subgradience from Lorkhan-Sithis-Padomay.
On top of that, IIRC there’s some accounts that list him among the chief deities of the Elsweyri pantheon, which would be consistent with his significance.