User blog comment:Zippertrain85/Dawnguard Follow up./@comment-17114085-20131216013719/@comment-17114085-20131220170308

They couldn't just go to Windhelm(for example) because Ysgramor would find them and kill them, so they needed to escape. Their two choices were hide in a remote location(like the forgotten vale) or seek refuge with their elf cousins the Dwemer.