Just as the title says; was it ever said where Uriel Septim was heading when he was escaping through your prison cell? I am asking this for the benefit of understanding and on a personal note, to help me with a story line for my mod.

We know they planned to exit through the swers. I've always assumed they would take the Emperor to Cloud Ruler Temple after that. It is what we are asked to do when Martin becomes the heir.

That's what I figured too since the Blades were escorting him. I don't know, I could make something work.

I agree that Cloud Ruler is the most likely destination. The position of the sewer exit is also handy for a quick escape to Bruma - a simple waterwalking spell/potion and you're on your way.