Speculation: Urth was the ruler of the Allagan empire, much like the sultana in Ul'dah. Odin is actually Allag himself, being a consultant to Urth. One day Urth discovers the primal Fenrir, begins utilizing his power, then becomes enslaved by him. Odin/Allag has to kill her to free her from Fenrir's influence. Which he does, despite how much he cares for Urth. So now he's imposed a self-exile and wanders the shroud as penance.

At least this story sounds a lot more entertaining to me. But it's just my theory.