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I had to cheat to get out.
Yeah.
The quest left me on a dead end. My gear was gone, I was locked behind a hard level door and the dead body in the cell only contained one lockpick. So even if my lockpicking skill had been high enough to pick the door, it wasn't, I'd only have one chance.
And yes, I looked around the room, through the bars, at the ceiling, everywhere for an alternative route. I slept and waited for a long time to see if my captor would do anything to let me out. He didn't.
So I had to cheat. I unlocked the door with it, ran to a chest containing my gear and then I shot my captor's head off.
It might be a mod, but that doesn't mean I like having to cheat. It ruins the immersion completely.
Terrible. Absolutely terrible.
But yes, it's possible I missed something. But frankly, after all the looking around I did I should've found it then. This was just... ugh.