This mystery can be found in west Eurvicscire at the Olikana Tower, just west of Jorvik.
What to Tell the Children at Olikana Tower
When you arrive at the tower you’ll notice two children crying for help. As you listen to their cries you’ll soon realise that their father is in the waters at the bottom of the tower, and they haven’t seen him in hours. They ask you to jump in and see if you can find him. When you do, you’ll find a body at the bottom of the water, along with a lootable trinket in the form of an armband. The trinket seems to be what caused the man to enter the waters in the first place, but unfortunately the body is his, and he’s now dead.
Take some time to loot the treasure behind the wooden barricade at the bottom of the tower, then return to the surface and speak with the children. You’ll have a couple of dialogue options here which relate to whether you want to give the trinket to the children or keep it for yourself, and whether you want to tell them the truth about what happened to their father, or lie and say that he’s no longer there. The choice is yours. After the conversation the mystery will complete.