There is no way to rescue him. His fate after closing the Kvatch Oblivion Gate is unknown.

HOWEVER ,

Normally Menien Goneld does not appear anywhere in the game except in the Kvatch Oblivion
World, and therefore he is only seen during the related quest. However, a bug has
occasionally been reported in which he is found in locations outside of Oblivion; his
dialogue does not change at all.

It is possible to remove Menien from his cage by casting a command spell on him and
leaving the room. It may take several attempts, but eventually, when you enter the tower,
he will be right outside of his cage, cowering as if nothing has changed.


Even by getting menien out of the cage , he is not scripted to follow you , hitting him
with your fists , will not cause him to flee out of the area , or the gate itself.

The only way i can think of , is by "commanding" him out of the cage , killing him and
using the "staff of worms" to make him a zombie like follower , however that wouldn't
really be "saving him" and he wouldn't be very useful either. You could , get a weightless
"bound weapon glitch" and PERHAPS reverse pickpocket him a claymore or another weapon ,
before killing and "staff or worm"ing him , but that seems like an awful lot of
trouble......