Snorre's answer is wrong. My answer is below. Correction 見張りなのかもしれなかあった。→見張りなのかもしれなかった。 Answer そんな馬鹿な＝そんな馬鹿なことがあるはずはない＝そんな不思議<ふしぎ>な／考<かんが>えられないことがあるはずはないThere cannot be such strange thing. 思ったものの＝思ったけれどThough I thought　※もの<物>＋の<case particle>→ものの<conjunctive particle works as a contradictory conjunction> 見張りな＝見張りである　※見張りis a noun. なis adnominal form of だ<auxiliary verb of conclusion> 「・・・騎士？」最初はそんな馬鹿な、と思ったものの、近づけばそれは紛れもない騎士だった。 "・・・knight? " Though I thought at first that there cannot be such strange thing, but when I approached it, I found that it was obviously a knight. 見張りなのかもしれなかった。 He might have been watch.

The な　here is a particle ^_^ http://jisho.org/search/%E3%81%AA And the の can be used at the end of a sentence to indicate emotional emphasis, a confident conclusion(i.e that you are confident that your previous sentence = true) and as a question particle(don't ask me details of this one use, because I don't know). Hope this helps ^_^