Okay, so self-admittedly a bit of a crazy theory... Also I'm unsure about how to use spoiler tags/whether I can mention Kelsier here so someone please let me know if I need to change anything!!
*** Spoiler warning just in case for those who haven't read Mistborn Secret History.
Alright. So... This is going to be a bit of a long ramble, but I'm just going to come right out with the craziest part of the theory first and then explain why I think this could be possible...
Yalb, the Thaylen sailor travelling with Shallan at the beginning of TWoK is none other than... Kelsier!!!
I'll break this theory into three main parts - 1) similarities between the two characters, 2) why he is on Roshar, and 3) why I think he's linked to the Ghostbloods.
PART 1 - Similarities
Reading the interactions between him and Shallan when he's escorting her up to the Conclave, and later in the bookshop scene, I just couldn't shake this feeling that he was familiar! Yalb's overly positive attitude is something that is constantly referenced - his sense of humour, the fact that he's always laughing and grinning. When Shallan is drawing him she thinks about how to get the smirk on his face just right. To me, that smirk just screams Kelsier.
There is that "twinkle in his eye" which I straight away associate with Kelsier!
Then there are his mannerisms, like cocking his head, raising his eyebrow (Kelsier is ALWAYS raising a storming eyebrow!), and putting his hands on his hips... I admit, the quotes could be a bit of a tenuous link, but I think it's more about this similar imagery, and confidence in the way they both hold themselves, that stands out. And just read that fourth quote... That don’t sound like any old Thaylen sailor to me...
Not to mention that elaborate bow... Where does a rural Thaylen learn that? Kelsier on the other hand is well acquainted with immitating the Scadrian nobility.
Shallan also notes that she has difficulty understanding Yalb, though she says her Thaylen is quite good. This is attributed to him speaking a rural dialect, but maybe it's just not his native tongue either. In any case, Yalb seems to know a lot of languages to be from rural Thaylenah - it seems he can also speak in Shallan's native Veden, Alethi, and the "clipped language" that Shallan's driver speaks in, which Yalb translates with ease.
Next are the similarities in his actions like gambling (or rather, thieving), and his incredible acting skills.
His over-the-top acting in the bookshop scene is sooo Kelsier, like there's nothing Kel loves more than acting a part... Not to mention the fact that he burst in at the exact moment the shopkeeper gave Shallan his price, almost like he was using tin to listen in?
And his conning the guards out the front of the Conclave, to which he says:
He's right, that's THIEVING, what our Kel does best.
Then there are a few things that he says which stick out to me.
Firstly, what he says about the Passions on pg. 133 actually sounds very Survivor-y to me.
Also on pg. 132 where he says:
Now I'm not really sure what the significance of this first line is, but I did find another post (I didn't know how to link it sorry!) which said that the Japanese translation for Mistborn the Final Empire was "Dancer in the White Sea".
As for his reply to Shallan about Jasnah smiling, it seemed odd to me that it sounds as though he personally knows that she's very serious!
And then there's the way he pushes Shallan to try one more time to win over Jasnah...
Kelsier's motto is basically telling people to NEVER GIVE UP!
Also, he is very familiar with playing cards:
The fact that he pushes Shallan to try again with Jasnah also hints to me that he's trying to get these two people together... As though it's part of some kind of plan (and we know how Kelsier loves a good plan). Which leads me to my second point - if this is Kelsier, what is his plan?
PART 2 - Why Roshar?
There are two WOB that lead me to believe that Kelsier is on Roshar.
So surely if Hoid is on Roshar, Kelsier is not too far away working at his own plan to get in Hoid's way?
Well to do that, he's gotta be on Roshar.
PART 3 - Ghostbloods
Now about the Ghostbloods connection...
For one, theres another WOB which states:
There are also a few others where he RAFOs explicit questions regarding Kelsier and the Ghostbloods.
Others have pointed out that the name 'Ghostbloods' doesn't seem to be derived from anything happening on Roshar, or anything else I can think of so far from the Cosmere... other than maybe Kelsier, and his having a connection to hemalurgy (blood?) and being a Cognitive Shadow (kind of like a ghost?). Again, a bit tenuous, but like I said... this is a bit of a CRAZY theory!
What I think is a bit more concrete is the idea that Yalb is connected to the Ghostbloods, and if we think Yalb is Kelsier, then that's how the theory all fits together...
The reason why I think this is firstly, we know that Shallan's father is connected to the Ghostbloods! And Captain Tozbek, who is the captain of the Wind's Pleasure CREW (a hint at Yalb being Kelsier maybe?), is "a business connection" of her family, "long trusted by her father."
Now how did Shallan's father get involved in the Ghostbloods, and why would they entrust him with a soulcaster if the Davar House is so isolated and relatively unimportant? I think it's because they knew about Shallan being a proto-Radiant. Both Shallan's parents discovered this fact when she was very young, and so did Hoid in one of the Shallan flashbacks in Words of Radiance!
If Hoid figures out Shallan's bond, then the Ghostbloods who keep tabs on other proto-Radiants probably figured it out too, whether from Shallan's father or some other way. We know Kelsier was always good at finding Mistings! Seeing as Hoid and Kelsier are rivals, it makes sense that if Kelsier is in fact with the Ghostbloods, then he too would be interested in Shallan for his own purposes.
Perhaps Kabsal's initial meeting with Shallan while waiting for Jasnah wasn't a coincidence, and in fact planned by Yalb and the crew who knew she would be up there. I think this is backed up by the fact that Captain Tozbek says they'll wait two days for her in the harbour because they need to dock anyway due to a highstorm forcasted for "tomorrow"... However I don't recall any mention of a highstorm ever arriving? This might simply be due to the fact that the predictions aren't always right, but it does seem fishy (mind the sailor pun).
Also, the Ghostbloods attack Jasnah while on the Wind's Pleasure... coincidence? And later, when Shallan is drawing in WOR (chapter 30)...
I think this really points to something bigger going on with Yalb and is connected to the Ghostbloods. As for whether you’re convinced it's Kelsier, as far as theories go I know this is a far-fetched one indeed... But I'd like to hear all of your thoughts!
EDIT: Totally onboard with @Ripheus23’s idea that Kelsier could be using Lightweaving or something similar to disguise himself... He definitely seems like the guy to attract a Cryptic... Mmmmm... lies. Also his artistic abilities could be in his ability to make plans or his allomantic abilities which he perfects like an art?