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Nope, never. There's no mention of him aside from the letters.
A lot of the places were you "caused a stir" can be quite odd too. I once had the letter mentioning The Mind of a Madman location which is where you go during Sheogorath's quest. (You can't normally use shouts there but with the Kinect you can)
I think it's Delphine. She's a Blade, so she would be anxious for the return of the Dovahkiin, and she sends you a letter signed "a friend" in the main quest, too. No idea how she finds out how you shouted in these locations, though.
In his house at R'lyeh, dead Cthulhu sleeps waiting.
I wondered that too, but then i figured it out becuase he gave himself away. See, i was on top of the throat of the world, with only me and that dragon, i forgot his name, but anyway i went to white run, and i got one of those letters saying "your shout caused a bit of a stir on The Throat fo the World" and I'm like "OMG the dragon is my friend!"and it makese sense, cuz he can see everywhere from up there! Naturally when Delphine asked me... to do that thing, i said F-U Delphine! That's my buddy who sends me letters!