Not the 3rd or 4th time you were a prisoner, but the 2nd.
Morrowind
Figured I would try another take at a common answer. Correct!
It took me a minute because Morrowind is the third game. But then I remembered you weren't a prisoner in the first one!
Second one, pretty sure. Daggerfall, you have been assigned a mission but end up marooned in a cave...dungeon...
Though maybe I'm misremembering the premise, and you do actually start as a prisoner
Yeah daggerfall is the exception to the starting prisoner trope