In the summer there is a small stone jail for those who are caught breaking the rules of the Sorcery Springs Geyser Basin, but in winter they are imprisoned within the warm waters themselves. No bolts or bars are needed, the cold takes the place of prison walls.
A rather large armed group slowly walks the road. Unless you get to see what they transport, you could think it is a caravan with expensive goods, or the soldiers escort someone important. But this is a prisoner transport, on the way to mines, criminals on their way for punishment.
The soldiers may be willing to talk, the captain will have a few questions on you and the road, but they will keep distance, and part soon.