Alessio can be found at any inn in Tamriel (besides the Cloudy Dregs Inn), where he can give you this quest upon speaking to him.
- Fair enough. I'll meet Rhea in Wayrest.
"Hurry to the Cloudy Dregs Inn. Our situation grows perilous, and Azura is anything but patient."
- Upon being added to the game, Alessio had no clothing, did not have any recorded voice lines, and lacked any hair. These issues were all specifically fixed in the 104 megabyte Patch 2.7.14, along with a capitalization error for items.