The two smugglers recognized Sabine and Kaleeth by their descriptions the moment they saw them, so there was no need for any of them to show proof of their identities. Instead, they were quick to leave the inn and prompted them to follow. The part of the city they started in was by far the poorest district, and the alleyways they were being led through did not look encouraging in the slightest. Kaleeth, and most of the others, had expected an ambush outside of the city, but there was really no guarantees that they would not be attacked in a dark alley in the slums. In any case, Kaleeth was on her guard. Although, to be fair to their smugglers, it was a place that the Thalmor would not go unless they had a specific reason. They would be leaving the city via a small boat on the Bjoulsae river, as according to Viper, it would be harder for Thalmor to notice them if they were not recorded leaving the gates. It would make them seem more like simple fishermen. They would take the boat out of the city a short distance, then get back on shore and head northwest to the meeting point. Fortunately, there was a city gate near enough to the river that Fendros and the rest of those following would be able to use, instead of swimming. 

The Orc, a rather tall man, looked down at Kaleeth with an amused grunt. "Expectin' trouble?" He said, referencing her sword.

"It's my brother's. He wanted me to have something to keep safe with, in case something bad happens." Kaleeth explained. She was still suspicious, but tried not to show it. They were currently cutting through an alley, and would not have many means of escape if something happened.