At the end when I go into the Shrine of Talos, the guards are there and they ask to take me to Cidnha Mine and I say "Fine, I'll come quietly." Then they start attacking me and I don't get "No one Escapes Cidhna Mine" to start. I went outside then someone arrested me, I said "No! I've been framed!" but then it gives me the option to say "Is there are problem?" and when I say that he says "You have commited crimes against Skyrim and her people. What say you in your defense?" I say "I submit. Take me to jail." So I go to Cidnha mine and it doesn't give me any quest!
Mods that you have made yourself in the CK (If so, what version of the CK)?
Cleaned mods with TES5Edit(including your mods)?
Have you tried (or are using) the Unofficial Skyrim Patch?
If i remember correctly, Deadly Dragons have an option to make Followers and some quest-related NPCs essential (cannot die, no matter what) this makes many quests go insane, avoid enabling this option at all costs.