Eh, but even then, Kellhus is still Kellhus. Even if he was thrown in prison with Cnaiur - well Moenghus Sr. did fine without the benefit of his name so it would have probably shaken out similarly regardless. These 'what if' scenario's get confusing quick.
Also, thinking on this, consider the fact that Kellhus knew for a fact that the Dunyain would end up possessing the Consult. True, some are weaker than others (like the ones the Survivor mentions, that were overwhelmed and just stopped functioning when the Consult besieged Ishual), but for the most part, there is nothing in the material world that the Conditioned can't conquer.
Anyway, I am getting really off topic with these. The question is, why was it Nau-Cayuti that spoke to Celmomas at his death? There are three possibilities, to sum up what was suggested:
a) It's the Gods speaking to him as if they are Nau-Cayuti. I don't see why the Gods would do that, though, it's not like they care to manipulate him or appease a dying man. They're not that nice.
b) He is just imagining it. Doesn't seem dramatic enough to be true; in fiction, stuff like this has to fit together.
c) It really was Nau-Cayuti. Which then raises the question - how did his soul end up there after becoming the No-God?
d) It was Kellhus or another Anasurimbor. We'll need more info on this before believing it, though.
Also consider that Celmomas considers the things Nau-Cayuti says as being "sweet", IIRC. He might consider it sweet because it confirms his line won't die out, or because the implication is that it is an Anasurimbor that will save the world.