So yeah, just completed the Thalmor Embassy mission and was traveling to Riften but decided to make a stop at Windhelm along the way, so I go to the new Gnisis conerclub to get some drinks and see whats cracking and there I find Malborn drinking away his woes, so I proceed to ask what is cracking and he tells me that there is a Thalmor Assassin after him waiting for him to leave, so I say have no fear Malborn I will kill this Assassin for you and locate the Assassin with my magic compass at the Windhelm stables however when I get there the Assassin and his objective marker have vanished without a trace.

WHERE THE [censored] IS HE?

If you go outside Windhelm, you'll see those Khajits from the Caravan. One of those Khajits are pretending to be a trader/merchant. Ask the main trader and then he'll tell you that one of them is a fake. Then you can either talk to the Assassin or just kill him right away.