I don't think so. I had a lot of fun with this quest, and I ended up helping them. When you come across their hideout, they explain themselves, and how they seek to bring a woman who betrayed their kingdom to the Thalmor to justice. They want to arrest her and take her back to Hammerfell to await trial. Given that they didn't want to kill her in cold blood (and that the job she gave me was to kill them in cold blood), I decided to trust them and keep my sword arm ready in case they tried to kill her. So I lured her out of the Imperial City and...