Finn soon finds a magic vault door and realises that the only way through it is by closing his eyes while he walks through it. Finn tries several times and even reaches the "exit" only to realise that when he opens his eyes, he spawns right back at the exterior of the vault door.
The world through the Hall of Egress door is actually just one big challenge out of Finn's thought sphere and the exit is deeper into the alternate Ooo. The real exit of The Hall of Egress is exactly the same, a vault door in a cave, only in a different location and can now be opened when Finn opens his eyes.
The Hall of Egress has two pillars on the exterior, and other ruined pillars next to it. On top of the two pillars is the shape of demon head with horns. Between these two pillars lies a huge gap. In the interior, the Hall of Egress is very plain with grey tiles. Deeper in lies a room with an upside down snowman shown for display and a huge vaulted door called "The Hall of Egress." The appearance behind the vault door depends on the being's thought sphere passing through it.
The Hall of Egress manipulates and tricks beings passing through with their own brain. Although unconfirmed, the Hall of Egress seems to give out a moral value to a being passing through it. To be more independent and to do things your way. It plays tricks on you and can manipulate you're mind thinking that you're at an egress but when in reality you're not. In the episode, Finn finally opens his eyes when he realises that something was different about the door that he was touching. He opens it revealing the real exit, a transparent sky walk through the hill and finally out from the top.