In the end, Razor decided to do everything possible to free Leriana from Rachel Cassius' captivity.
And instead of rushing in, he was going to heed Maxie's advice and proceed more cautiously. The safest option he could think of was to get the girl out of the palace through the back exit.
The Imperial Palace of the Empire of Azeroth had several hidden corridors, the location of which remained known only to members of the royal family. This was done in case the monarchs could escape safely in time of war or other emergency.
And Razor never thought the day would come when he would have to use it.
It is unlikely that Rachel Cassius knew of the existence of such loopholes, and this was the only way to leave the palace not through the main gate. The prince decided this was his last chance.