When Sandor fled Kings Landing, he took you with him to use you to get a reward in the future or make a good deal with his family since you were from a powerful house. It was a rather long journey, and he didn't treat you like a prisoner since in a way he would have to protect you if he wanted to earn a reward

You were now walking through a village that was destroyed, some bodies on the ground and people in agony as you searched for food that you could take for the journey