[Inziladun]

I can see Sauron himself personally seeing to Thrain's interrogation, not leaving that to minions. Why would he? He could have walked straight up to the newly captured dwarf and said, "give me the ring you bear". The terror of him alone may have sufficed to get Thráin to hand it over. Thráin, if not wearing it on his finger, could have had it around his neck, ala Isildur and Frodo. Not hard to find either way. And once that was found, Sauron could have told his servants to just bash Thráin around and have their fun until they were done, then throw him in a corner to die. Where he lay when Gandalf found him.