Easier said than done. Save him from the Thalmor, Ice Trolls, Khajit assassins, everything.

I follow this blighter (killing everything along the way, because he can take exactly one shot) all the way to a place called "Refugees Rest," which I reckon many folks have not seen in game.

Malborn has a lot of issues with Ice Trolls, many Ice Trolls; it took me about 10 restarts to get him to his end...and what does he do...just vanish.

I don't know...maybe he ends up in Solstheim?