Nefarion by Olivia March

Nefarion is the prince of Balruin, where the Shadow Keepers dwell. Their ability to manipulate the shadows makes them expert assassins. Helion, a commander of the Keeper forces sent to Earth to defeat the Scourge, sends Nefarion out alone to find their missing comrade, Mithrain, and bring him home.

Those plans go awry when Nefarion encounters a frail human female, Annabelle, being abused by her people. Though his mission was urgent, and his scruples nonexistent, he is unable to turn his back on her. He takes her under his protection, determined—against his better judgement—to see her to safety.