Everyone thought King Sombra was dead. Or lost. Or lost and headed towards death. But for a pony with magic, it's not too hard just to teleport someplace else, out of the terrible snow and somewhere where light shines. Somehow King Sombra ends up teleporting to Ponyville, wanting to escape from his horrific past.
It turns out, the only way to get away from his bloodied path is through music - the last thing anypony was expecting.