Yes I know, Jyggalag is Sheogorath and Sheogorath has shrines all over the place, but before he was cursed he was a powerful Daedric Prince, I would expect there to be a Shrine to Jyggalag as Jyggalag lying in ruins somewhere and forgotten. There were at least enough records left of him for Morian Zenas to find mention of him. And he comes back as himself every thousand years, so there could be small crops of cultists around those times too, who could then leave some physical traces for us to explore and loot.

(And actually that raises another question: what happened to Jyggalag's followers when he was cursed? Did they all go mad? Known examples of major cultures either changing deities or having their patron be cursed suggest there would be SOME effect on the worshiper base...)