Which prison? If it is the cell in Iona's dungeon, try clicking on the cell door (even though it is locked); talk to the guards first, if you wish (don't recall if they say much).
I read that one of the prisons (I think in Verdistis) has a lockpick hidden under a pillow, but I always saved before looting/stealing, so I could just reload if I got caught.
Welcome to the forum.
