They do turn it into a prison at some point though.
Hmmm you MAY want to take a closer at look at the lore around it before you decide to live in there lol One legend was that Sheogorath tricked Baar Dau (the moon in question) to fall down and crash into the city. BUTTTTTT there is another one where it is sorta... Vivec's... own turd... Yeah im not joking.