Assuming that The Elder Scrolls V: Skyrim follows the pattern of its previous titles, the character will begin in captivity (only to be released from it by unlikely forces). During the wait for TES IV, a similar thread to this was posted.
Why is your character in jail? Did he/she steal? murder? pillage? not fill out a census form? drown an orphan? Please explain the crimes you've committed.
Locked inside a decrepit fortress, kept prisoner by an army of power hungry, dragon worshiping draugr, the Dragonborn bides their time until they find just the right moment to mount a daring escape.
Alternatively, or perhaps simultaneously, your last-of-the-Blades buddy finds you inside said fortress, frees you, causes a distraction to draw away the main forces long enough for you to get away, and rendezvous with you later.