» Fri Jun 29, 2012 3:00 pm
Because Helgen appears to be something of an Imperial stronghold. Heavily guarded, judging by all of the watchtowers.
Also, think about the position. Ralof tells us that they were arrested near Darkwater Crossing. It's a lot faster to go to Helgen from Darkwater than it is to Solitude, which is basically on the other side of Skyrim. It's about minimizing risk, and getting the traitor executed ASAP.