"I'm sorry, but I just can't stay here."
The doe looks dismayed, but she nods in agreement. She walks to the back of the room and pushes aside some curtains, opening a door that leads outside. "They don't expect you to know about the back door. They won't be watching it. Just follow me, I'll see if I can lead you out of here."
The two of you head out the back door and start walking through a narrow alleyway behind the shops. It's too dark to see more than a few meters ahead, but your companion seems to know the way and moves through confidently. After a series of twists and turns, you eventually make your way through to an open clearing. The doe looks extremely nervous, so you start making smalltalk to clear some of the tension.
"I never did get your name."
She turns away a little. "We don't have names. Usually I'm just referred to as the doe." You shake your head.
"That won't do. You should have a proper name. Like... Jane." She cringes a little. "No? Okay, how about... Lisa?" She shakes her head. "I know: Dorothy. Get it? Doe-rothy?" Unsurprisingly, your pun's met with a blank stare. "Okay, we'll just call you Doe then. Um... do you know where we're going?" you ask after realizing that you seem to be back amongst the buildings. She just nods and keeps walking.
After a few minutes, you're still wandering around, and the surroundings are becoming less and less familiar. Everywhere else, the place was loaded with bright and vibrant colors, but over here it's' all dilapidated tents that are barely standing and poorly-maintained buildings made from rotting wood. You don't feel entirely comfortable here, but Doe seems to notice how nervous you are.
"It looks this way here because we're going the right way. She doesn't want anybody to try to leave, so she made the parts further inside look safer than the ones on the outer edge so that they'd want to stay away from the exit. We're almost out now."
"Look, I've been wondering... are you sure there's no way for you to come out? I mean, you don't deserve to be stuck here, and besides..." You feel too embarrassed to finish, but you blush bright red and Doe seems to get the message anyways. She starts looking sad again.
"There's no way for me to get out. Most of the things here can get out, and anything from outside can no matter what she does to it, but us... we're different. Every part of us, our minds, our bodies, it's all made by her, and we're just too complicated. We have to stay a part of her, there's just no way for us to survive on our own. If I left here... not that it matters. When she finds out what I did, she'll probably get rid of me anyways."
"Don't be so harsh." The two of you turn to the source of the voice, seeing Alice standing behind you with a confident smile on her rabbit-like face. "I would never want to get rid of you. Your friend here, on the other hand... well, I think we're going to need to teach him his place."