When you are returned to Arkham via "nightgaunt taxi," you do receive an explored marker.
Kevin Wilson wrote:
"Carried away" by a nightgaunt while in an Other World (08/26/05)
If you are 'carried away' by a nightgaunt while in an Other World, you are immediately returned to Arkham and given an explored token. The nearest gate is, after all, the gate back to Arkham.
Thematically, nightgaunts were sometimes servants of Nodens, and didn't always hinder the investigators, sometimes they helped.