I went to the dbcuc, and for some reason there were only 2 bodies, and a living (but naked) malborn with red eyes! I had not even been to ustengrav in the main questline, and whenever I talked to him, he would just say: "nord", or "hello!".
I found Malborn there without equipment, after I saved him in the basement of the thalmor embassy and Roggvir, who died at his execution (strange, I know), his head somewhere else. So, because Malborn can hardly cut a head off with his bare hands, I suppose Malborn is there anyways, no matter if he survives.
I did a test with several npcs and spawned copies of the following. Grelod the Kind, Arcano, Narfi, and Roggvir. This Malborn attacked Roggvir outright, so I think he does exist just to kill the poor guy.