Everyone makes it sound like the gates of judgement is literally the only way to leave. There are areas surrounding Ishgard that are populated by Ishgardians. There are probably plenty of villages and other settlements between the loading screens and people seem to often forget that there is a lot of land between zones too. It may take longer and involve more walking and hiding (which I personally think would make things more interesting) but it's completely possible to escape on foot through the highlands or something.
