I had something similar happen in one of my games, except the victim was an NPC. The party defeated some drow slavers, and took the leader alive. They used some spells to mindfuck her into spilling info about other drow raiding parties on the surface. All that was normal murderhobo behavior, but afterwards they didn't finish her off or hand her to local authorities. They just kept her.
It became a running joke that she was the party's pet. Kept tightly bound and on a leash. There would be occasional mentions of feeding or walking her. There was never any explicit talk of the drow being their sex slave, but that was the clear implication.