Another thing that's worth noting is how many Gods/Goddesses you become affiliated with if you do every quest in the game. Nocturnal, Hircine, The Night Mother, etc, etc. They can't all go together like that. An example being that Nocturnal states that after you die, you serve to protect the Twilight Sepulcher, while Hircine states that after you die, you will roam the Hunting Grounds with him, catching prey. You can't worship every God/Goddess without them contradicting and colliding with each other. Thus, I like to think that because you're Dragonborn, all the Gods and Goddesses make an exception and throw you into Sovngarde,