Is it correct to say, "he led me through a path in the forest"?
This is perfectly normal and a good use of English:
To the fluent reader, this suggests that the path is narrow (probably because of tall undergrowth on either side).
It also has the nuance of the narrator entering the path and emerging from it at the other end.
If the writer had used "along", the "flow" of the writing would have been lost when the writer had to explain that the path ended.
We have no difficulty at all with such a sentence as
"He led me through the trench to an area of open ground."