My spies report that our High Overlord did not leave the way he entered, nor any other way we know of. No signs of him were seen at any of the known exits from the Stockades or the sewers. He simply was in his cell one moment, and gone the next.
Begin your investigation around the city of Stormwind. There must be another way out that we do not know of.
Dark Ranger Lyana will meet you there. Her tracking skills are second to none.
Do not fail me, my champion.