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Maybe it's The Beastmaster?

Damn...at least tell me if its either a thriller or horror, because abduction or Kidnapping is about half of the films in both genres

The Adventures of Priscilla, Queen of the Desert (1994) says my AI companion.

Calvaire (2004)?

Do you remember which country did this movie? It could help.

Nuwanda suggestion is a good one! Everything seem to corresponding.
I had The Loved Ones (2009) when I read your description but the "dressed as a woman" part does not fit. At least it gives you an idea of another movie with the same genre to watch. :)

The movie you are referring to is "The Wicker Man" (1973), directed by Robin Hardy. In the film, a police officer named Sergeant Neil Howie (played by Edward Woodward) travels to the isolated island of Summerisle to investigate the disappearance of a young girl. While on the island, he discovers a pagan cult and becomes entangled in their rituals. Towards the end of the movie, Sergeant Howie is captured by the cult members, dressed in a woman's dress, and tied to a chair as part of their ritualistic ceremony. He manages to escape but eventually falls into a giant wicker man structure where he meets his tragic fate. The film is known for its suspenseful and eerie atmosphere and has become a cult classic in the horror genre.