Sheogorath has a jail and it's as crazy as you'd expect...
Skyrim's jails can be fun to escape from but no Elder Scrolls jail experience compares to The Shivering Isles DLC. Sheogorath the Daedric Prince of Madness gives you two trap-filled locations to escape from depending on which side of the realm you were captured in and they're full of trouble! Watch out for Punishment Point!