I found nathaniel's bag of holding. Went to the jail cell where I met him, but he's not there. I'm not able to find anything online via google. Just how to do the quest, not why he is no longer there or if he's at another location. Anyone know where he's gone to?

Have you tried looking somewhere else? He might be around but in an odd spot. That happened to me once. He wasn't in the jail cells but somewhere else. You can also try resting at the prison, and if that doesn't work load the save before you rested and rest elsewhere and return.