Merillion is part of a weird game of cloaks that involves Sansa and Tyrion: the singer took the shadowcat cloak from the corpse of a mountain clan member who had died in battle. Tyrion then won the cloak from Merillion gambling. The jailer at the Eyrie took the cloak from Tyrion, who retrieved it when he was released from his sky cell. (Later, I think Jaime is a symbolic jailer who frees Tyrion when he is accused of Joffrey's murder, but I don't know how this ties into the jailer at the Eyrie.)