After finishing the Thieves Guild questline, Nocturnal pays a personal visit to the M!DB so that she can properly 'thank' him (ifyouknowwhaimean) for getting her Skeleton Key back. Fast foward abit and he gets a message from one her follows stating that little tryst caused to her to get pregnant.

So now not only does he have to deal with the looming threat of the World Eater, he also has to deal with the fact that he is going to be the baby daddy of a Daedric Prince.