Knock him out, then ship him off. Should be cheap.
*sees thread*
Oh... maybe you could play an Argonian that... got knocked out and shipped off?
Now seriously, my best suggestion is just a plain worker/townsperson that grew bored of his simple life and started adventuring. An adventurer does not fear to venture into the unknown, and later got accidentally caught on the border of Skyrim. Or maybe was he a smuggler? Or he joined a group of bandits along the way?