I think your idea makes a lot of sense, Pendio. First of all, both grant significant power to their wearer. Skull Kid crushes Termina with the Moon if you fail, and Midna transforms into a giant orange creature. Also, both corrupt people with their power. Skull Kid's joking and pranking turns into a plot to destroy Termina, and the fushed shadows are the source of the first few bosses' power in TP.
Also, there is something not right about the Happy Mask Salesman. Personally, I have not played MM, (but I understand most of the storyline), so I'm not sure how he and Link got into Termina, but that makes me wonder if he could get into the Twilight Realm. Perhaps, and this is a wild theory, he sold the fused shadow that Midna begins TP with. Because if I remember correctly, Midna already has one fused shadow, and you must collect the other three to complete the set. If he was willing to carry Majora's Mask, he would probably be just as willing to carry the fused shadows. I'm not saying he made it, but I thin kthe Happy Mask Salesman has a connection to the fused shadows somehow.
One last thing. In SS, Demise is mentioned as the source of all monsters, one of which I believe is Majora. Along with Majora there may be a counterpart for him in Hyrule, an unnamed spirit who possesses the fused shadows. I know the full set is split up at the beginning of TP, but that would simply mean this "mystery spirit" is asleep, and his power is awakened once the set is complete.
Tell me if this makes any sense.