Complete the quest "Nalia Abducted by Isaea Roenall" - Complete the quest "The de'Arnise Keep has been Invaded". Recruit Nalia to the party either during or after it. At some point she will request you visit the Graveyard District. After the scripted scene upon arriving, the quest will begin automatically a few in-game days later following a scripted scene that sees Nalia missing from the party.