Arena- You start of as a political prisoner, a dissident opposing the imperial battle mage who was imposing the Emperor Uriel Septim. You get selected through a sorceress who's undead spirit lingered in the world to over throw the impostor and restore the rightful ruler.
Daggerfall- The odd duck of the Elder Scrolls as you don't start off as a prisoner. Instead you start off as an envoy of the Emperor, sent to convey a message and investigate into some mysterious happenings. Your ship gets blown off course and wrecked along the way and you somehow wake up in a dungeon.
Morrowind- You start off as a prisoner to be sold off into slavery in Morrowind. But an intervention from the Emperor saves you from your grim fate and propels you down a different path of destiny. Morrowind differs from the other games in that there is no tutorial dungeon as such.
Oblivion- You have no past, no ties, no history, nothing. Until the game starts your character quite literally didn't exist. You simply awaken as a prisoner in the prison of the imperial city. A confused individual who wound up in the wrong place in the right time as your cell somehow hides a secret escape.
Now, there isn't much known about Skyrim but what is known is that you start off as a prisoner... again.
So the question is, how did your character wound up as a prisoner? Discus here, be serious about it... or have fun with it.
Either way enjoy.