"Do you know anything about what's been going on here?" you ask. The thug looks very confused. "I don't know anything..." he says. Looks like you can't get anything out of him just yet, but you could still take one of your earlier options. He's still not going anywhere.
Have him turn himself in. Maybe you can get more out of him with someone else's help. Get him to take you to wherever he's operating from and hope he doesn't go back on you on the way there.