Grr this bugs me lol I hate unfinished quests. And on my last playtrough (as a shadow warrior) the game was full of bugs so I had unwanted companions all the time, 6 at the most (4 of them died so I was left with two... until I restarted, then I had to get four of them killed again lol)
Anyways here is a screenshot.
I know there is a cave nearby, and if I enter and exit that cave, the blue circle keeps showing me to the cave, but I have explored everything in there, and it's not there, despite there being a blue circle inside the cave, off the map, here is a screenshot of that.