Unknown Nation specifically disallows this?
Technically yeah. Your opponent's hero can never be in battle during your rescue attempt, because of the whole "opponent's=opponent-owned+opponent-controlled. At least from how I understand that.
However, as Aggie pointed out, The Silver Trumpets was ruled a long time ago that you couldn't band your hero to your opponent's hero when your evil Priest has initiative, even though TST doesn't specifically disallow it.