Oh I get it The outside world here is an empty void cause you're not supposed to actually escape. As the game's story is Fictional and if the Characters escape through the Road of Despair They'd end up living in what is basically blank paper as you're supposed to go through the story and have that blank paper (the outside world) be drawn on to create the real escape route
If you do this in the story, it cuts to the scene of after you fail too many times with everyone getting frustrated with Kaede wanting to do the road over and over again