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They are on Ellis island
the wardens office is on level H
go to the lighthouse.
section h
Look for it when you use the lighthouse to look for it then use the boat to go to the prison
on level D
Use the pickax to break out.
go to prison h
in the prison office
Use the sardines you found in the tunnel at the prison.
Use the sardines from the tunnel at the prison.
You find them in the hidden tunnel at the prison after the Warden's ghost locks you in Cell 8 on Level D.