**POSSIBLE SPOILERS?**
I was able to keep him alive, and in doing so, it opened up another quest (as you probably know). When I entered the last room, I stayed in sneak mode and took out the Thalmor with my bow. Try doing this and if you're spotted, just kill them any way you wish. After talking to the person in the cell, release them (all staying in sneak mode). Malborn enters I believe then, and then some more Thalmor (or they enter the same time..can't remember).
My only advice is to just try to take them out as quickly as possible and keep them isolated by maybe blocking the stairway. If you notice them ganging up on Malborn, stand in front of him and try to take their hits and then fight them away.
If he survives, all you have to worry about is a Frost Troll when you make your escape. I was in sneak mode once again and shot arrows at him twice, then ran down with my sword (would have kept using arrows, but Malborn and the other guy ran ahead and into his reach). It can be a little annoying, but worth trying if you want to open up another quest.