I guess these are minor early game spoilers, so
Gale is 700+ miles from home, and he's been more of a depressed recluse since he's been stuck with the orb of Karsus. Unless I'm missing something, that means the nautiloid would've had to pay a visit to his tower specifically.
Shadowheart: It had to be during her heist of the prism, but where was that?
The other origin characters are easier to figure out. For the heck of it:
Astarion: Squidnapped from the streets in pursuit of another sacrifice for Cazador.
Durge: Already in a pod onboard, after Orin and Kressa had their ways with them. Tangent: why is he left naked in the bedroom when nobody selects Durge? Bhaalists are weird!
Karlach: Snuck aboard during the gith attack, but quiet is hard for her so she got got.
Lae'zel: She had to be support for the dragon riders. She couldn't be trying to recover the artefact yet because she is surprised to see it and doesn't recognize it beyond knowing it's gith in origin.
Wyll: Chasing Karlach. Seems like Mizora would've intervened, given how useful he is though.
I know it's silly to overanalyze something trivial like this, but I'm in the mood for it lol.
