You could have some tells in the guy's house. eg: all the winter clothing is gone. Indicating where he might have gone.
Or maybe the guy brought some books/maps from the local shop.
Looking through the house they could find the residues from a very rare plant which is helpful to surviving in the desert/marshlands/glaciers. the plant being gone, you can deduce where to go from there.
They could find a secret basement with all of his knightly stuff (the way superheros might keep their secret identities hidden, so does a noble knight.) In there could be a diary, or a talisman from a particular jungle tribe. (One of your PCs luckily knows about the tribe: use their background!)
Pehaps people with mage senses would see a magical signature, such as evidence of scrying a particular location.
Maybe he has relatives, or a past in the hero's guild (substitute as needed), and they could help the PCs find him. (cue journey companion)
The quest could be made more exciting by having the dragon morph at a particular time ( "When the stars be right, this here dragon will open the gates to the fury of the underworld. I tell thee it has been written in the prophecies"), giving a time limit to their search, and adding tension.
The player's characters should be good source of inspiration too.
One of your players belongs to the "most secret brotherhood of the violet moon"? then Thord might be affiliated with them, having worked for them in the past. Cue doing a favour fo a guildmaster as retribution for absence before the master tells about Thord.
One of your player a clan barbarian from the southern plains? Thord was raised by their rival clan! Cue diplomacy, etc... to find out more about Thord...
Maybe an ancient text has been left to be found (eg: on dislplay on a pedestal in the foyer) Which will need to be translated by a scribe in another city
cue quest no 1: Travel to a far off city. Getting Jobs as caravan guards going to the city could bring in income and trouble (read cool moments!)
Arriving at the scribe, they find that they have to do him a favour before he translates it, since they do not enough money to pay for it
cue quest no 2: perhaps doing something illegal, such as stealing a rare book from a wizard/museum
Once the scribe translates the book, it could refer heavily to an acient temple in a far off location
cue quest no 3: some more travel to exotic locations, and meeting two rival tribes who will lead them to the temple, only if they help them in the conflict.
At the ancient temple, they could find de-activated traps and an artifact of great power (tm) missing, which can only be used in conjunction with another artifact at another location
cue quest no 4: travel to a necopolis, for example: undead, dark dungeons, etc... But the necropolis is big, and they will need a guide. a local necromancer knows the way.. do they trust him?
Arriving at the Necropolis, (and having gone through hordes of undead) they find Thord and together they defeat the lich master, and aquire the second artifact of power(tm) to defeat the dragon. Thord thanks them and accept their apprenticeship, but on the return journey, they get attacked by Orcs who steal the artifacts and take Thord hostage
cue quest no 5: retreive artifact and Thord.
In fact, the great orcish shaman wants the artifacts to kill a demon which has been released by his inept attempt at magic, and the PCs could even help the tribe to kill the demon if they use diplomacy and dont go in all swords blazing. Otherwise, they will have a demon to deal with later on... Once they get Thord back, he is wounded ( by the demon, or by the orcs, depending) and will not be able to kill the dragon himself, so when they get back
cue quest no 6, return journey, where another tribe, or the demon, or anything else, could be pursuing them for the artifact.
They then have to activate the artifact of power(tm) and then kill the dragon, which could be the climax of the campaign...
just my two cents...