If it is at the beginning of the quest chain and you need proof of what happened to Thorald then what I did was sneak into the battle-born house and steal a book/note explaining what happened. I don't think I had to talk to the battle-borns to find out.
Be warned though; if you kill the woman inside (that was right infront of the note I needed) then her husband will send hired thugs to kill you.
Um; save before and try everything imho. I am not sure if there is a required speech level, if there is it is probably a bit low because it is in the "starter" town. Dunno though; good luck.
I finaly found it out for myself. I had to get 55 in Speech plus the Pursuasion perk to make him talk. But it was worth it. I found out that
Spoiler
Battle-Born hade nothing to do with Thorald Gray-Mane being gone and that his former bestfriend Idolaf Battle-Born had been worried about him and looked in to it just to find out that the Thalmor hade him so he told everybody he was dead because the true fate was far worst.