Well, in Solitude is a Thalmor Embassy, so I went there to plead with them directly. However, that building is empty, and no Thalmor exist in all of Solitude.
So I went to the Thalmor Fort where Thorald is held captive, but they attacked me without any dialogue options. I had no weapon equipped and was wearing the armor of the Legion, but they weren't biting.
So now I'm at a loss as to how I can complete this mission. I desperately don't want to kill the Thalmor, my character believing in the White-Gold Concordant. So how can I do this?