Is there a way to enter godmode? I want a thief character and need a way to get out out of the initial dungeon
You can get out of the dungeon by running past and avoiding the trickiest enemies. You'll end up with less loot, but you'll be out, and you can always rob a few graveyards with only rats etc to get some quick money.
The hardest enemies on the main trail out of Privateer's hold, as far as I can remember, are a thief in one of the rooms off the first corridor (you don't have to enter), an archer in the ante-room to the throne-room (he is behind a U of tables, so you can run past him without him being able to get to you) and a skeleton at the top of the throne-room staircase, which is slightly more difficult. If you're quick, you can jump on the throne platform, activate the lift mechanism and leave him on the floor below before he can catch up to you. After that, it's up and round a spiral corridor with a few giant bats, and into a room with an imp - which again, you can run straight past to click on the exit.
You need to know the way out pretty well, though, so run through it and be prepared to get killed a few times before you get it perfect. I have a map of P's Hold in my
Daggerfall Chronicles, but I don't know if there's one online.