I mean that I capture them and they show up in one of the prisons. When looking at their location from the menu it says they are on the current floor.
In that case, I'm thinking it's a bug, because I actually just experienced it myself.
Captured a Witch's Apprentice. She showed up in a Dragon's Lair. Freed her and recaptured her. She showed up in a Furniture item back on the main floor.
I believe prisoners are supposed to appear like this if they escape your collection. Guessing that flag is being applied to some characters incorrectly.
Possibly related: Tried releasing the offending prisoner. Ended up getting a crash report the next time I changed floors.