This is a direct continuation to the “Bad Ending” of the story, in which Sheogorath won.
He had done it. He had successfully conquered an entirely new world, brimming with magic, waiting to be corrupted by his Madness. Though it cost him the lives of the few beings that could contain his magical potential, Sheogorath acquired a world full of helpless equines to play with. All he had to do was clap his hands to begin the games…
Except his magic was running thin without a vessel to channel it. He’d had enough control to defeat the beast of Chaos and the Elements of Harmony, yet now his power refused to heed his call…
To add insult to injury, an unexpected-and otherwise uninvited-guest decides to raise its head!
After being freed from Order's curse, the Madgod Sheogorath is left without a home. He searches the many realms of existence for a creature whose Madness rivals his own. He finds Chaos instead.
After his victory over Chaos, The Madgod Sheogorath suffers the consequences of his time in Equestria.
When a dark cloud descends upon Equestria, its citizens fall into what seems like an eternal sleep, plagued with nightmares. It's up to Princess Luna to discover the cause and put a stop to it, before it's too late.