Would've leaped off the side of the carriage and headed into the forest. If successful, I would've went straight to Riverwood to get cut free, then head straight for the Morrowind border to join my Argonian brosefs in the good fight/occupation, where I would definitely die from something there, lots to choose from really.
Now if I got lazy after Riverwood assuming I got that far, I'd just go to the Temple of Dibella and sign up for some instruction

. Odds are though I'd get mauled by a Sabercat, a pack of wolves, or slaughterfish (because if you can suddenly breathe underwater, who wouldn't swim all the time?)