So, the new bits of lore heavily hints on Nathrezim being the part of Shadowland, serving the Death to destroy all other Cosmic Forces.
This raises many questions, like, why?
Why do they serve Death?
Why do they serve Jailer?
Well, maybe this theory may at least connect some dots.
Jailer, Zovaal is or was a Nathrezim.
Thats it. Why did i came to this?
1) Well, first, its visual appearance.
Nathrezim are the race originated on planet Nathreza, and we never saw this planet with our eyes and know nothing about how its inhabitants looked like before The Burning Legion, before Sargeras.
It was common belief that Nathrezim's appearance: horns, wings, hooves - are their original physical attributes.
But now i may doubt it.
Thing is, Nathrezim were servants of the Burning Legion, and most servants of the Burning Legion, were physically changed after following Sargeras or being influenced with Fel Magic. Orcs, Eredar, Night Elves, even Titan himself - all them got certain atributes.
Elves got hooves and became satyrs,
orcs got spikes and change of skin color,
Illidan got wings, hooves, horns,
Eredar got horns and wings,
Sargeras got hooves, horns and wings.
You see the pattern.
So, maybe Nazthrezim's horns, hooves and wings also were not their original attributes?
2) Second, Zovaal actually looks pretty similar to Nathrezim, minus those attributes. He looks very vampiric-like, with fangs, pointy ears, bald scalp.
3) Third, him being supreme Nathrezim would explain why Dreadlords serve him. He may be their god, for example, or their leader, similar to Kil'Jaeden or Sargeras for Eredar and Titans. Hence why he is so big. This also would explain him making up this grand master plan on how to destroy all other cosmic forces.
By the way, take a look at how interestingly similar Jailer's armor look to Varimathras' torture shackles.
This chackles were designed by Birning Legion, that also was based on design of the Titans.
And i would dare to say, that Jailer's armor looks very similar to shackles of Varimathras.
Now, take a look at this recent piece of lore (The Primus voiceover):
So, Eternal Ones punished Zovaal for something and shackled him in that armor. There is obvious parallel between Legion shackling Varimathras and Eternal One shackling Zovaal. There are many theories about how Eternal Ones and Titans are somewhat connected or paralleled. And Legion's master is Former Titan. So there is certainly something fishy and related to each other.
4) Minor point is the name. Blizzard are ususally pretty competent in how various races names are sound alike. You will easily differentiate the name of orc and elf, or elf and human, or dwarf and gnome.
Zovaal fits the row of Nathrezim's names: Malganis, Balnazzar, Tichondrius, Varimathras, Xaraax, Gorgannon and others.
Now, my assumption on what actually happened.
Zovaal was some kind of Nathrezim patron, demigod or god of Nathreza, or one of Eternal Ones, who was born on Nathreza.
Regular Nathrezim followed him and worship him.
Then Zovaal did something bad and Eternal Ones punished him. They took off his soul - thats why he has that black hole in his chest, and imprisoned in the Maw, forging the chackles. Thats why he looks that way.
Then, he somehow freed himself and started the grand plan on how to use the Death to destroy every other Cosmic Force.
Another bit of lore from Primus about Jailer:
Using the power of the Maw he sent Nathrezim everywhere, pushed Sargeras into madness, made a bargain with the Light, sending Lothraxion as part of the bargain to check out the Light armies, and basically was behind the most big events via Nathrezim agents.
Thats pretty much it.