I got an theory. He might be an refrence to the Norse god Loke/Loki. (You see the match? Loki, Lokir) Loki was the seductively handsome Norse god of mischief and chaos. And also tricked and cheated the other gods of Asg?rd og serveal occasions. We might see him in a future DLC or atleast some kind of refrence though I wouldn't count on it. Or maybe he's some kind of daedra who has taken a human form or maybe Aedra. Or maybe he's just some unlucky fella, who fell victim to bad luck. There is many possibilites. What is your thoughts about our poor horse thief?

He's just probably a thief who was at the wrong place at the wrong time.
The Second Prisoner,Beth likes to include in games at the beginning of the storyline..It's sort of a tradition at least from Morrowind onwards.