In the dungeon with the Shadow Dragon, there are two locked cells that I can't get into. I can't find the trigger to open them. I've otherwise finished the dungeon as far as I know. Even killing the Dragon (eventually), but I still can't find a key or switch anywhere. The game won't allow you to pick the lock. Can anyone help, and is Mazzy locked in one of them?

There is a key on a shadow in the dungeon called the Shadow Jailer, try looting it. Yes, Mazzy Fetnan is behind one of them.

I can't seem to find his body, or any items he may have had on him. I didn,t use the disintegrate spell. I've scanned the area with the cursor but still can't find it. The jailor is the one just outside the cells isn't he?

Yep, it's some shadow called Shadow Jailor or something. He's not harder than any shadow though so you might miss him, but he should be just outside the door. If you've left the area (like, gone back to Athkatla or something) after killing him, the thing might be cleaned away by the game. Get it with ShadowKeeper, it's yours anyway.