I say it really depends on the prison. What country is it in? What's the prison's history, politically, militaristically, in terms of escapes, executions, life sentences, parolees? What type of prisoners does it mostly consist of?
When the guy gets transferred to high security, I think some thought should be given to who was there last. What ridiculously messed up ghost makes its demense on the other side of that cell? Others made points about Fae Lords who have set up a crazy prison maze to force people to make deals with them, and that's pretty rad, but I don't really like no-win situations, so I wouldn't use that in my own game.
On the other hand, maybe the trip into the Nevernever isn't so much about scaring the crap out of the players and convincing them to turn back or die trying, and maybe it's more about starting a new mystery, or giving clues to an existing one. What if on the other side of the gate there's a winding maze of tunnels... with a giant gaping hole busted through from one end to the other, cutting a swath of wreckage and leading to the outside, which introduces the players to a graveyard of guards that were slaughtered when whatever left last that way got out? A skeleton guard attacks the PC raving about the Ravager That Was vowing that they won't let another beast like that escape to cause more destruction in their lord's domain.
If the players want to escape through the Nevernever, I think it's important to let them make a real go of it, even if that go consists of running and never looking back. I know I'd be upset if I got railroaded by my GM to "accept a fate worse than death thus derailing your character, or go back and sit on your hands and think of a better way". You might as well have told me "no."