[paulcmnt]

I think I may have blocked myself from joining any other faction besides the Inquisition as a warrior.

Initially I wanted to become a mage, but in the city I turned in all the bandits except Delgado (I kept him for pickpocketing). Because of this I can't complete the "Law and Order" quest (I think that's how it's called).

Since I can't do that I decided to join the Don; I gave him the golden sword, then he asks me to go look at what his men in the town are doing. The problem is that I've turned three of his four men in, so I can't complete this quest either.

Is being captured my the Inquisition my only option?

[TazmanDevil]

Bringing Don the golden sword does not turn you into a bandit, it just gives you access to his temple. Going into the town for him doesn't turn you into a bandit neither. The only way to become a Bandit is, to do at least 4 of the 7 town-quests 'for the Don'.
As you want to be a mage: talk to Belschwur and distribute his health-potions. Then go to Carlos (he is in the town castle) and do his task, then he'll sent you to the monastery.

[TazmanDevil]

Did he tell you to clean the town and did you get rid of Scordo?