So, I was in Windhelm at the docks, and I noticed a small trapdoor in the water (Not underwater, but rather on the water's surface.) I went over and it was to "Japhet's Folly."
I appeared on a boat in the middle of nowhere with three east empire mercenaries, and suddenly had a quest to kill some dude with no context. I figured "sure, okay" and went again with it, entering a cave nearby and going all the way up to the top of the tower to kill this dude.
Then I get another quest to report to some other dude. So I follow it. They weren't there, but the quest marker was.