You do not need to join the thieves guild in order to rescue Zandalor; that will just get you access to the poor quarter's sewer entrance and the location flagged on your map.
The castle treasure room is accessed via the Rivertown sewers (
map), rather than the castle itself, which you can reach through the Ars Magicana sewer entrance (hatch/grate on the ground in the middle of the square) or from the tunnel from the Verdistis sewer (which has 2 entrances, at opposite corners of the park). If you already cleared the Rivertown sewers, the location you need would have brought to into a room with a locked door, past which was a couple tables filled with gold and jewels. After getting the quest to rescue Zandalor, the door will be unlocked.
Keep an eye out for jewelry with a Pickpocket bonus, and you can pass the first thieves guild test without investing in the skill yourself (the second test requires level 1 of Lockpick). Joining the guild will give you a skill bonus to Lockpick, Pickpocket or Evade Trap (your choice), and you can learn a level of Lockpick inside (by loosing a bet), so even putting a skill point in Pickpocket you would come out ahead. I found or purchased 2 pieces of equipment with a Pickpocket bonus, so was able to join the thieves guild (level 1) and pickpocket something from a person in the quarantine area (level 2) after giving it to him in order to get it back.
If you check Kistandalius in Ars Magicana periodically for charms or spell books, he would probably be the best merchant to try for Pickpocket bonuses.
