First, thanks for reminding me to put in a brief mention of Nathan and the Duchess in adventure nine, when the party ends up interacting with the Unseen Court.
Second, we don't really have anything planned for those two characters specifically. The consequences of the party's decisions manifest more in the form of how other NPCs and power groups react. If you want to do anything with Nathan or the Duchess, you've got pretty much free reign.
Third, what I always figured is that
a) if the Unseen Court got the duchess, they'd kill her as a message. If somehow the party convinced them to just take her captive and keep her alive, she'd end up a prisoner in the Dreaming, gathering followers to her side and eventually allying with a faction of the fey who are more militantly opposed to Risur's industry.
b) if they got Nathan they'd put him through a maddening Alice-in-Wonderland-esque bit of interrogation, and he'd come out the far side with a bit of Stokholm Syndrome, thinking the fey are awesome. They'd set him up with a telescope and let him examine the stars, but nevertheless keep him prisoner.