Well here is my theory, Elves likely had access to music and such, but the early nedes like did not and likely no human at the time had access or the creativity to create music or do anything with it.
This is because men are tied to Lorkhan, Lorkhan is basically the ancestor of all men. With his death creative died and needed a new master to take it over. What I think happened is Sheogorath gave Men the means to do music, and took on Lorkhans role of creativity which allowed men to do what only elves could basically do because well the elves had a god for it. and men did not. So I think it started with elves, but Sheogorath is the one who gave man the ability to do it. So its not that Sheogorath invented instruments or music, his role was given men and women the ability to do so as only mer and womer could do so before that. I think Sheogorath really took off in early highrock and has a lot of history there hence why he always takes on the form of a breton man and why Haskil is also a breton too. So I think that is where he has a lot of ties as a deity basically.