Thorald Gray-Mane is a Nord being held captive by the Thalmor in Northwatch Keep. Presumably because of his vocal support of the Stormcloaks, the Thalmor kidnapped him and he is being held prisoner at Northwatch Keep. The Imperial Legion has tasked clan Battle-Born to inhibit any inquiries of his disappearance.
Running on the motherly intuition of Fralia Gray-Mane, the Dragonborn investigates the House of the Battle-Borns in Whiterun as to the whereabouts of her son. Finding an Imperial Missive on a bureau, the Dragonborn discovers that the Thalmor apprehended Thorald. The Thalmor were holding him prisoner at Northwatch Keep. Alongside his brother, Avulstein, the Dragonborn heads to Northwatch Keep to rescue him.
After being rescued, he says he'd better leave Skyrim or join the Stormcloaks in order to evade the Thalmor. In his testimonial after leaving Northwatch Keep, he affirms that he's not sure about how much time has passed since he was abducted, but estimates it may be more than a year.
He asks the Dragonborn to tell his mother, Fralia, a secret message to be decrypted by her. After escaping the Keep, Thorald joins the Stormcloaks so as to take the fight to the Thalmor agents. Henceforward, he may be seen in Windhelm telling Ulfric Stormcloak's second-in-command, Galmar Stone-Fist, that he wishes to fight for the Stormcloaks.