First of all, welcome to the board flowerangel1
Now, just to check with you on the details. I take it that someone approached you straight after Nalia was arrested and therefore led to the hunting-for-evidence quest. If I'm not mistaken, you have to go 2 places - bridge district (sea bounty's inn) and Roenall's home (Government district) itself.
Have you done both? That should give you all the evidence you need, and you can approach Barg again.
Let us know if you have any other queries, yah?