The Arab may see little hope in trying to run away from what he has done. He is away from his home and family, from his normal surroundings. He may also believe that he must pay for what he has done. He has the ability to go away from the jail, but does not. He could even attempt to make his way back home, but he does not do this either.
Perhaps he feels so very alone that he cannot think of anything but the destination that had been set before him. Curiously, when he thought Balducci was going to return, he asked Daru to accompany them. It may be fear of what he does not know that stops him from attempting an escape, as opposed to going on to that which he does know at the jail that makes him take that route, and perhaps this is why he wishes the teacher to accompany him.