Cheesemonger's Hollow is a realm belonging to Sheogorath.
"Wry without equal, Sheogorath holds in his realm giggling loons, flamboyant auteurs, and craven mutilators. The Mad Prince will ply profitless bargains and promote senseless bloodshed for nothing more than the joy of another's confusion, tragedy, or rage." - 16 Accords
This is a small portion of the Mad House. Potentially nearby the Sanctuary Shalidor made.