If the idea is that he can't save her, he should look as though he knows he can't save her. Right now he looks like he was the one who captured her and is storming away to find more people to take. That's a hard thing to get down because people are going to want to know why she can't be saved. There's a deeper story there and without some kind of motivation, your commission requester is just giving you back story to make themselves sound intelligent. There has to be a reason, in picture, why she can't be saved or else the motivation you give your characters is forced and comes across banal and static.
Are they separated by a barrier somehow? Is he not strong enough? Is there a magic ward keeping him at bay? Does she not want to be saved? Info like this would help the picture emotionally. Right now it's mildly sad, maybe asleep winged lady chained to a rock and then a possibly spatially related winged non-human flying away from her. There's no relationship between these two.
On the art side, I know it's in progress so I won't comment on the coloring. The line work is good, nice and clean. For the background, I can imagine a few things; some insanely high cliff walls for instance. But the angle is such that you'd be hard pressed to get anything of substance in there. Don't leave it blank though, maybe a major storm with lightning and a swirling cloud formation. Through in some flying debris and maybe suddenly he can't save her because of the onslaught, he has to save himself.
Just some thinking. Carry on.