Well, the answer to your question lies largely with who Shor really is. In other regions, he is known as Lorkhan. Lorkhan was brought about by Padomay, or Sithis, and in turn, brought Mundus (creation) into being by convincing the Aedra to create it. Mankar Camoran maintained that Lorkhan was a Daedric Prince, however this is not confirmed by other lore, and is somewhat odd, considering the Daedra were the Ancient Ones who refused to create Mundus. However, Daedra are traditionally allied with Padomay, like Lorkhan. If Lorkhan really is a Daedra, then it is almost certain that Sovngarde is his plane of Oblivion, comparable to Nocturnal's Evergloam or Hircine's Hunting Grounds. Most of the lore I have seen supports this explanation. As to why Sovngarde is limited to Nords: Lorkhan has long been seen as a supporter of man and enemy of Mer. Since Nords are the original men of Tamriel, so to speak, it is likely that Lorkhan holds a special fondness for them, and their entrance of change into the Mer dominated world. Lorkhan has long been represented as one who introduces change, representing Sithis' realm of chaos.
In conclusion, I do not think a concrete answer has been given in the Elder Scrolls lore as to who Lorkhan is, or what Sovngarde is. The clues seem to point to it as a realm of Oblivion, however.