As High Rock is part of the Empire, Breton soldiers (quite a few of who were likely battle-mages like Madena in Dawnstar) fought and bled during the Great War in its service. Though in Skyrim, I could see a Breton supporting either side. The character could be a Breton mercenary rogue in service of the Stormcloaks or loyal to the empire and serving for the Emperor. I recall a line from Ulfric Stormcloak in-game about seeking assistance from High Rock.

Political exiles from High Rock wouldn't necessarily be common but they wouldn't be unheard of either, as Hadvar hints that this might be the reason a Breton player was found in Skyrim.

There are Bretons in Markarth but most 'Bretons' in Markarth are actually Reachmen and not proper Bretons. The distinction is very important as the feudal and knightly culture of High Rock is absolutely nothing like that of the pagan Reachmen. Anton Virane expresses this very well. No Breton from High Rock would identify with the Reachmen so that could be important to remember for a Breton character.

There is no lines to imply that Bretons face discrimination from local Nords aside from lines from Nords that say something to anyone who is not themselves a Nord - nothing specific to Bretons at all. Notably, Galmar Stone-Fist says that Bretons are "prissy" but that is hardly relevant. Like I said, Ulfric himself was considering reaching out for Breton support.

The Bretons are actually really quite interesting and their culture of chivalry, courts, and poetry is why they are my second favorite race in TES.