The playable character is actually composed of two different characters, a mortal and a Daedra, sharing the Daedra's body. I will here expand their backstories here and expose various propositions for the mortal character.
Velkan is part of the Kynval caste (warrior-knights who have distinguished themselves in battle, and shown the deliberate steadiness of potential war leaders). He used to be a Caitiff as zealous as any Caitiff can be but since he was promoted to an upper rank and gained more power over lesser castes, he started to become more independant and dissident. He removed his armor to expose his body with defiance and arrogance, focusing his martial training on attack rather than defense. This kind of behavior is not the most common thing among Dremora but it may reveal a strong-tempered Daedra with high ambition and a clever, unyielding mind.
Dremoras are instinctive creatures and they are rarely enclined to think. Velkan is among the few ones who try to make some use of their brains and be more creative. For this reason he is more prone to observe mortals before trying to kill them and it is why he was chosen as host.
This image is a demonstration screenshot. The Player's appearance may be subject to change.