Try using the 'tcl' (I think) console command and flying out of it. You should be able to track down where it is. Unless you don't wanna cheat out of it, in which case
(Quoted from UESPwiki)
Located south of Camp Hopeful on the southern face of The Jester's Spine Mountains. It also faces directly south. You can clearly see New Sheoth from this vantage point, and if you look due East you can see the Stairway of Sheogorath on the slope of Mount Sheogorath.
This is where Sheogorath executes those who have provoked his ire. There are four skeletons, one Potion of Nighteye, one Strong Potion of Healing, one Poison of Illness, one Silver Dagger, one 'Decomposed Corpse', and one fresh corpse labeled 'Sheogorath's Punished'.
Apart from the Mort Flesh on the 'Decomposed Corpse' none of the other remains have anything interesting/unusual on them aside from 'Sheogorath's Punished'. On it you will find a Lesser Soulgem, a Flawed Pearl, and a Death Decree stating the departed's name was Robert Wisnewski and he was punished to the severest degree for attempting growth of a beard. An unlawful action in the Isles but particularly ironic given Lord Sheogorath himself sports a healthy beard.
mapMy guess is this is some Bethesda inside joke, this Robert Wisnewski guy.