Baldor, the Skaal Village Blacksmith, has gone missing. Was he kidnapped by these Thalmor Soldiers?

Baldor Iron-Shaper, who is in charge of the blacksmithing for Skaal Village, has disappeared.

When you talk to Deor Woodcutter, you learn that some elves were seen dragging something southwest on the day Baldor disappears

These elves are most likely Thalmor Soldiers and the trail will lead you to the Abandoned Lodge in the quest A New Source of Stalhrim.