The Bandit Cave in Thais is a little hole near southern gate. Here you will find 2 Bandits and 2 Bats.
To enter, you need use a Shovel on the Loose Stone Pile here. To leave the cave you can use the southern stairs where you came in or the northern stairs, to back to Thais.
Note: If you uses northern stairs, you can't enter again from there. The unique entrance is from Loose Stone Pile out Thais.