Hi Chino Alpha,
Firstly, I'd say that 'they' refers to 'the men in white coats', or mental health workers who would come to put him in a mental health institution against his will. 'Them' refers to the parents.
Here "might have" means "could have" or "should have", so yes, much like the third conditional, it's referring to an imaginary situation in the past. It would be clearer if there were a comma before 'except', and the information that comes after except is the reason he didn't tell them, i.e.
He could/should have told them, but he didn't because he was afraid they would take him away from the hotel. If you want to think of it in terms of the third conditional, then it would be:
If he (Danny) had told them (parents), they (white coats) would have taken him (Danny) away.
Here's a question for you:
What does all work and no play make?