Well, if you compare the 2 mad gods, Discord is into making Equestria a land of chaos and misery. Sheogorath by comparison just likes to either help, hinder, or just mess with any mortal that crosses his path and seems to have no agenda beyond that.
In a sense, if you put Discord in the Elder Scrolls Universe, he'd have more in common with the more malevolent Daedric Princes, such as Molag Bal, or Mehrunes Dagon.
Pinkie on the other hand does fit pretty well as Sheogorath (though she might also make a good Sanguine) and knowing her, if she was given Daedric powers, she'd be more into helping people out and/or pulling pranks. Which fits more with how Sheogorath spends his time.
If anything, I think the only appreciate things Discord and Sheogorath have in common is that they're both charismatic mad gods that like to do whatever they want, but don't have many similarities beyond that.