you can play along with this or outright deny it but either way you can allow him to repay his debt by protecting you as now he's brother is dead due to a Skooma addiction. The general story was Inigo thinks you were his ally he travelled with and someone he betrayed for his brother (his brother was a crazy addict) so he pays guards in Riften to lock him up due to his guilt as he assumed you were dead, making the reason you got caught by the imperials was because of Inigo. Inigo was so cool and loving, it genuinely felt like you had a friend with you travelling Tamriel.
Remember the really cool mod of a Khajiit follower with a really fleshed out voice lines, story and combat choices done by an amazing voice actor and mod designer.
