If you had them set to follow, and were swimming under the NPC camps on the tall islands, then most likely the thrall teleported onto the islands and was killed by the pirates there.
I’ve had that happen several times. My thrall can’t get to my exact position, so they teleport near my x,y coordinate but way off on the z coordinate.
Scuttler’s Shortcut is the main one, they stop following part way through the cave and then teleport up to the surface where the giant snake is.
On Siptah as well, the south-east area with the grey ones, near Eastlight. I was running along the coast, and my thrall teleported up to the camps on the cliffs.
I have The Damage Meter mod, which has a combat log, so I can instantly tell when it happens because my thrall will be taking damage when I’m not in combat. At which point I frantically run back the way I came while spamming the “thrall return” command and hope they survive long enough.
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