I want to free Thorald Gray-Mane from Northwatch Keep
without killing the Thalmor. They are holding him for the
Imperial Legion. I do not want to join them at this time. I have
Talked with the Imperial higher ups in Solitude. They offer nothing towards
that Quest. Any help would be appreciated.

I have not found any way to release Thorald without killing the Thalmor guards. According to the game guide, you should get a dialogue option after completing the imperial quest line to ask for his release, but I didn't get it. The game dialogue and quest update seems to suggest that such an option exists, so it may be a bug.

I have read elsewhere that this is bugged. I also could not find any "diplomatic" way to release him, so inevitably, lots of Thalmor parents ended up receiving condolence letters from the Aldmeri Dominion after I was finished.

Thanks. I was thinking along the line that I would have to complete some type of Imperial Quest before I got the option. I guess I will leave it alone for now. If I ever decide to join the Imperial Legion I guess I will find out. Thanks again.

cc08,
This is funny (Thalmor parents ended up receiving condolence letters from the Aldmeri Dominion after I was finished). I am working today and got a real kick out of your response!!!!!!!

I completed the legion quest line and still got no new options, either with Tullius or the gate guard. Even tried it with legion armor.

This was one of the first quests I did. I had no idea what anything was about.

The Thalmor did send someone to kill me. But outside of that, it didn't impact anything else.

I did score elvish armor and didn't feel the least bit bad for it.

Joining the Legion won't give you a "peaceful" option either. A modder might help out with that.... now the CK's out.

Thanks for all the replies. I guess I will go and clean house. I am in the out's with the Thalmor anyways after the Embassy Quest.

I truly enjoy wiping out that entire bastion of Thalmor arrogance....

Besides, cleaning it BEFORe the MQ doesn't have any obvious consequences as much as storming the embassy before the peace talks...

Always and forever. They don't help their position with, "You are a dog, and I am your master!"

And anyway, the fellow you try to save is removed from the game later, so he really doesn't matter.

What does it means? If Whiterun is given to Ulfric he will place the Grey Mane family as new Jarls of the city.

There is no peaceful option (again sloppy scripting lol) Besides, ALL Thalmor deserve death!

The peaceful option is bugged. According to the wiki, even console commands won't work. Perhaps a mod?

I just did this quest at lv 43, and it was fun. The Thalmor were all wearing glass/elven armor and it was a nice change from fighting bandits.

Killing Thalmor, "The rightful rulers of Tamriel", never gets old.

Oh SO true!