D'oh, you're right.
I assumed it happened when he was a prisoner after the Markarth Incident. But no, that was his SECOND imprisonment, when his dad died tragically.
And then, there was that time, at the beginning of the game, when he was a prisoner with us in that cart, to be beheaded...
I'm starting to see why he's a grumpy guy.
Also, how does he get captured so much? Seriously. If he gets imprisoned one more time, he gets a free sundae.