Didn't you see it run off when you entered the map, and follow it into the cave? It's supposed to be the one that tells you about the shade lord in the first place. Doesn't really matter much, though, so never mind. Mazzy's in a jailcellnear the beginning of the dungeon, to the west of the entrance. There's a shadow there that says something and attacks you, and it'll have the key to the cell on its corpse.
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