This sounds like a fun story! For information on dragon names, there's a section in the thuum.org Lessons to help you out: https://www.thuum.org/learn/practice/shouts.php#2

Not all dragon names folow the same pattern, but the most common form of name Thu'um uses three monosyllabic words that relate to the dovah in question. Try looking through a list of shouts (on the same page as I linked to above) and finding three single-syllable rotmulaag (Words of Power) that would fit your character's personality. Since this character is a special case, perhaps it would make sense to have his name Thu'um relate to his situation as well as his personality! (Just an idea, of course. It's up to you what to name him in the end!)

You must think about this dragon's character, it's your story, and then you must create a name according to it. Names of dragons, of dovahhe, are made of words in Dovahzul, in dragon's tongue. Each word represent their very nature, like Odahviing, Od-ah-viing, which on yor tongue means Snow-Hunter-Wing.

it is a hard question as NordicLight made very clear but you basically already told the story of this dragon summoned by Sheogorath. I would suggest taking a name that has the word vohahdrim in it meaning un-mind/madness (thank you Paarthurnax). The name of your dragon will probably a long name because the only thing i could come up with was durrahgotvohahdrim dur-rahgot-vohahdrim meaning curse-anger-madness. 

this shows us that the dragon was made as part of a curse that was made in anger, the madness part is just to show everyone who was the summoner.

I hope you come up with a cool name and good luck!