>>717674726
Ralof says they were "on their way to Darkwater Crossing", not that they made it there when they were ambushed. As for why Helgen, Darkwater Crossing is deep within Stormcloak territory, and while Whiterun is more pro-Imperial than not it still remains neutral. Riverwood's also within Whiterun Hold and is therefore also neutral. Helgen however is within Falkreath Hold; it was supposedly the closest Imperial-held town to where the prisoners were captured. As for why you spawn in the road that leads to Pale Pass it's because Bethesda wanted the first few seconds of the game to be the player "coming from Cyrodiil into Skyrim" and they just fucked up the logistics of everything else, most likely.