The Outlander Season 5 finale made it clear that Wendigo Donner was part of Lionel Brown's party. What happened to him during the episode?
Despite Jamie telling his men to "kill them all," not everyone did end up dead on the Outlander Season 5 finale. Lionel Brown was left to bring back to the surgery for questions. He wasn't the only one that made it out alive.
During the finale, we found out one of the men was a time-traveler. Wendigo Donner told Claire that he had come from the 1960s, part of a group of travelers who wanted to prevent the destruction of the Native tribes. Now all he wanted was to get back home, realizing the mission had failed.
Claire asked Jamie if there was an "Indian" with the group of men killed. Jamie hadn't seen him, which means that Wendigo Donner got away.
We can assume that Donner escaped at some point when Jamie's men attacked. He may have even left at an earlier point in the night, knowing that sticking around for Jamie to show up would have bene a death sentence.
This would certainly be fitting for the books. Wendigo Donner did get away at the time of the attack, knowing that he would have been killed if he stuck around. That doesn't stop him from showing back up at a later point, though. Without giving too much away for those who haven't read the books, he wants gemstones to get back to his own time and knows Claire has them.
Whether the show follows the book storyline is something that we'll need to find out. However, I don't believe we'd have been introduced to this time traveler and he would have got away had the show not planned for something more during Outlander Season 6.