Not sure if this is a bug, but i find it quite odd anyhow. ^^
http://imgur.com/d1IVj9S
LOL! hmm yeah that is strange.. But you know. Maybe he got fed up being north of the wall so dragged his sorry ass into the Westerland's.. alone. Looks like you've busted his cover.. heheh
lonely heroes like that pop randomly when their faction is destroyed, i saw Joffre in Norvos alone, or some Wildling hero alone near Pentos.
I had a similar experience today in Crusader Kings II (AGoT mod)
http://imgur.com/3VWtvA4