Hmmmm... Well, being lost/looking for a home is probably one of the most common themes in songs, and there's a WIDE variety of stuff, so I'm not sure how well this will fit (seeing as some of these are more about being home ROMANTICALLY. Depends on how picky you are about lyrics), but:

Are We There Yet - Ingrid Michaelson
Home - Barenaked Ladies
Everything Had Changed - Barenaked Ladies (the arrangement is very much NOT Losers to me, but the lyrics are at least 90% terrifyingly fitting)
Keep Falling Down - Sissel (this is one of my favourite songs for characters with nightmares)
How You Survived The War - The Weepies

Also, for instrumental stuff, there are some pretty damn cool music box covers of pop and rock classics, and a lot of them are almost creepily haunting. I don't think I have too many links, but you could check out Rockabye Baby), or do a youtube search for "music box cover", or "オルゴール" (Japanese for music box. they love that stuff. vocaloid musicbox stuff might be a good bet, because jfc, there is a lot of haunting and sad vocaloid music out there.)

Bonus: ultimate captivity/torture song: If I Burn - Emilie Autumn. (the basic sentiment is: "Give it your best shot, I will HAUNT you. You're going down with me.")