This topic is vast some lore friendly some not but most mysteries and theories will try to be met with in game evidence. Most theories rely on a vanilla game and how you played the first time ....eager to do the main quest line.   Our first mystery is you "Dragon-born" as in the beginning you start with nothing but a carriage ride to your death and left to wonder why?  You are on a cart heading to Helgan it is summarized that perhaps you came from Cyrodiil and was caught at