I originally posted this in the "Quests and Exploration" category, but now that I'm finished the prologue, I can safely assume none of this jank was intended by the developers.
Basically the Markarth prologue quest is entirely disjointed, janky, and full of dead ends and confusing directions. None of it is immersive or logically consistent based on the quest dialogue.
I won't go into detail; instead I'll direct you to my
original post, which now has four separate entries.
It's very frustrating to start an entire DLC zone like this. Please fix it.