- A trader on the road being attacked by bandits! - oh, wait, that requires me to be a trader.
- Hunting in the woods, when being attacked by a dragon! - no, that requires me to be a hunter..
- Sneaking into a castle, trying to rob something from someone! - Nope, then I have to be a thief.
- Wandering the streets of a city! - No wait, what a dull person my character is, and nothing really happens in the beginning of the game!
- Wandering on the roads in the wild, when I'm attacked by a dragon! - No, my clothing/armor/weapon would tell me what kind of character I am.
Nope... Prison IS the best way to start; you know NOTHING of your background!
Starting anywhere else would have elements that reveals something of who you are, like your clothes, your companions, your armor, your weapon.