I doubt the Orcs would've wanted to mess with a Dwarf lord of Thrain's caliber, especially if they knew Sauron had already searched him. Besides this, if they had had access to him (which probably wasn't the case -- after all, why would Sauron risk opening and closing his cell for Orcs to enter and exit, much less allowing them to have a key to his cell) would they even know what to do with his map and key? In addition (again, even if the Orcs could get at him) Thrain possibly had time to hide his remaining possessions in his cell.
Also, are we even sure Dol Guldur was crawling with Orcs, as has been implied?
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