I'm a vassal of the North about 80 days in and tried to rescue Ser Denys Mallister of the Night's Watch from the Wildlings in Thenn, though after much strolling around the town, noticed there is no prison or corresponding guard. I'm not sure if this is a bug or not.
Also, our dear friend Roose Bolton was captured by the Iron Islands and imprisoned at Pyke. I snuck into Pyke and took a really long walk to get to the prison, made a mess of the guard, and when visiting Roose in his high-rise he said something offensive that I couldn't respond to. His dialog contained a sentence in each of 2 different conversation bubbles with no option to bust him out.
Thenn prison is behind the hall. It's underground prison, I had rough time to finding it too
Thanks, I'll check it again.
Found it. I guess I was ignoring everything else that was not a building. It was immediately obvious to me the second time. Thanks!