Captured friendly NPCs kind of randomly appear in jails or locked in appropriate bondage furniture whenever available. Don't stress it, you're likely to randomly trip over them sooner or later. Alternatively, faction prisons are far more likely to contain captured NPCs. If you know which faction it was that captured your servant (bandits in your case), find the staircase to the bandit prison on your current level, and search it for your missing servant.
Note that your captured servants will hang around being priority rescue targets by default, so if you ignore one, you're likely to keep tripping over her repeatedly, in different places and levels. This is why you might want to delete captured low-star servants; not only do they clog up the rescue pool (displacing higher-star random characters you might otherwise encounter), but they will also be low on health when freed and unable to defend themselves.