Companion rescue quest bug
Solution 1:
The only solution I could think of (other than starting the quest over from an earlier save) is utilizing the "Clairvoyance" spell. This should produce a glowing trail that will allow you to track down said individual. If that doesn't work then you are stuck with the backtrack to an earlier save option, IMO.
Solution 2:
I have come across this issue a couple of times from different characters, the way in which I have normally sorted this issue is to simply use the wait function for a period of time, normally around 10-12 hours and then the character should spawn into the game as what I could tell when I had this issue was that the NPC didn't actually spawn in the dungeon to begin with.
The other way with dealing with this if you cannot find the NPC and you are sure that they have actually spawned into the dungeon would be to use a spell to detect life like the other people have suggested.
Hope this helps