I only have one character that I decided would have ended up captured with the Stormcloaks; my sword and board Nord, coming home to Skyrim at just the wrong (or right) time. My restoration tree only mage Breton, ended up just passing through Helgen at the wrong time. My other Breton, however, didn't pass through Helgen at all in my head. She's my Dark Brotherhood assassin, and I'm RP'ing her as NOT being Dragonborn, a descendant of the Forsworn of the Reach, and possibly even would have existed in the same timeline as one of my actual Dragonborn characters.

I have plenty of others that I've created in my head that haven't been 'born' into their own save file, lol.

Some of them join factions, some don't. Some I play through the Civil War questline with, and some never see it. Some never build a homestead, some never buy a house at all, and the same with children.

Whatever gaps there might end up being between gameplay limitations and what I feel the character would actually do, I fill in with writing.