its not overly difficult to add it as a keyitem and then make a script run in every dungeon that, if used in field ( lets say, you press square, it pops a message box and asks you if you want to escape with a yes / no question ) moves you to the entrance of the dungeon ( or even one of the entrances )
since this is potentially game breaking in places, I'd include a set of set bits that are checked if you're allowed to teleport out of this dungeon yet or at this time.
its also possible to make this work in towns and let you visit every town you were at before and you have currently access to ( lets say, no fort condor or junon after you arrive in costa de sol until you get the buggy )
if its worth the effort is a completely different issue