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He has read about such matters before, so he knows not to trust it. His escape was nothing more than a wish. His weapon a manifestation of his rage to the people responsible.
The people- well- he is not entirely sure about them yet.
Likely just a way for his mind to keep himself company while he sits in that place.
Although his mind is certainly cruel at times. In honesty, he is not sure if the escape was a fantasy. It felt real: the snow under his feet, the way his cuts burned in the air, the sight of his sister struck by several arrows as the ground turned red beneath her.
Perhaps it was real, and he was caught and chained once again.
His mind tells him he and the friends of his are great adventurers. They are assholes. They keep an eye out for one another. They care for him. How lovely that all would be.
He almost forgets at times, but reminders bring him back to reality. The cold and hard rock under him some nights, and he is in the cell once more. The smell of blood from an enemy, and he can feel it running down him once more. A companion too close, and he knows his jailers have returned once more.
It is likely not healthy of him to give into these fantasies, but the alternative is far too much.
He does not wish to upset his companions by telling them they may not be real. Knowing his mind and his vision of the world, they could turn against him if he let them know. It didn't seem fair to them, either, even if they are nothing but fiction. He cannot look at the strong man, capable healer, charming bard, talented woman, careful thief, or spectacular scout and do them that form of harm.
So he continues to fool himself, convinced it can be nothing more than a dream.