Once, when the Eldergleam is still young, there was a bard name Bal and a priestess Arkay name Lamae. Not through lust nor envy, Lamae's helper, Facis, killed the bard in secret and out of loyalty, he hoped that she'll marry the lord of the land, ensuring her a carefree life if the bard was out of the picture. She end up not accepting the marriage proposal, nor did Bal stayed dead. In search of Light (Lamae) he dragged himself from his own grave. Deformed beyond recognition, unable to speak the simplest of words, he was attack and omitted. Betrayed and grief-stricken overtake him and he raped Lamae out of rage, for she would have never been his. Her beauty, her compassion, he never would have won her over, unless through force, sheer domination. The corrupted soul continues to walk that path of madness until he became known as Molag Bal. What he didn't know was that a part of his soul splited when he reach the surface. A furtive pygmy, too weak to stop his counterpart, all he could do was to watch from the shadow. Once the deed was done, he dragged her unconscious body to nearest camp of nomads, in hope that a proper funeral will send her soul to her lord, Arkay. Once they found her, he thought that this was the end of it, his light is gone and he can do nothing more for her. Screeching to sky above, he begged for anyone, Aedra or Daedra, to take his life, to make sure that never again he will see the light of days. The one who answered was Sheogorath, seeing him off as a "forgotten sibling" then granted Bal's last wish of eternal sleep. Little as Bal know, the Prince of Enslavement and Domination final act is yet to be completed. As her body about to be consume by the flame, Molag materialized on the funeral's pyre and shed a single droplet of blood on her brow...

The rest...is history.

 

Bal's slumber was broken when a certain hero defeated Jyggalag in 3E 433 and became the new Sheogorath.

 

I haven't solidify the rest yet, but here's the gist of it. The large bone shadow is Arkay, tending to the (un)deads in Coldharbour. He isn't suppose to be there, and can leave anytime he wants. Lamae was a priestess of Arkay himself, so when Molag Bal interrupted the funeral and dragged her soul into his realm, Arkay tagged along to keep a part of her soul from being tainted. The girl is a small part of Lamae that is still pure, her eyes are covered so that she won't get corrupted by the Red Eye (Sithis) that got Molag Bal (Chapter 1). The story would be about them journeying through Coldharbour, she's trying to find a Bard that she couldn't remember the name (what she was doing after the bard went "missing"), while he trying to fulfill a promise that he can't recall the content to (what he was doing before he was kill).