"Ouch! From Pegasus height, the water's quite a bit harder!"–Thakun
Thakun is a researcher in Balder's Refuge, located west of Bastion. He fell from the pegasus and dropped his books while on his way back to Balder's Refuge from Allemantheia. Before this trip, he had never left Balder's Refuge.
Judging from this appearance and his situation, he is most probably the Baraka from this particular loading screen.
Thakun starts the following quests: