Season 2 Ep.24: When Jack and Ellie discover the truth about Danni and her father, Danni believes she has no choice but to run and make a new life somewhere else.
Bray runs into Dal and Salene returning late from the farm. They confirm they just saw Danni on her way out. He tries to stop her, but she keeps on going. Bray follows her into the night.
Dal and Salene confirm they just saw Danni leaving through the sewer. In his haste to follow her, Bray has forgotten his coat. Next morning we see them both having spent the night camped under a tree. So where did Bray's coat come from? He certainly didn't leave the Mall with it