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Arthur and Uno appeared at the capital of the Storm Empire as they were too lazy to go anywhere. Using the return scroll would always bring them to the nearest safe place or the last city where they last appeared. It could also be the capital of the last Kingdom or the Empire they had last visited.
These two happened to appear in the capital of the Storm Empire when they first visited this place. And since they were too lazy to go to other cities, they just traveled on foot or their mounts when traversing the borders of the Dark Cloud Kingdom and Storm Empire.
Uno just wanted to walk around and feel the atmosphere and environment of the game for a little while as he advanced toward the war while Arthur loved to fly around with his golden dragon, wanting always to flaunt it.
This was already engraved on Arthur's personality, so it would be hard to get rid of it even with the current mood that he had.