Alexei chose to help Elise because the woman obviously needed a break.
Heck, after everything that happened with that bastard Loriel, Alexei would have also wanted to run away like Elise. He really couldn't blame the woman and it must have been so tiring being pursued by not only one but two men.
Thankfully, Alexei was the best at finding a great spot to hide away from the world.
At this particular moment, Alexei wasn't going to take her anywhere in New York but instead, he opened up a portal in the air, taught to him by 'Dimitri', and soon there was a bright light that swept over the two of them.
Elise and Alexei arrived in the mountains of Cretea.
"We're in Cretea now?" Elise's eyes widened and she quickly looked at Alexei who looked a bit pale. She rushed to his side and placed a gentle hand on his back. "Are you okay?"