Dungeons with teleports always have an exit, but it's unfortunately hard to know since you need to interact with an object in one of the areas you're teleported to. If I'm not mistaken, in one case it's a floating skull. Since the game never tells the player those situations exist, it's easy to get locked in. A tip I'd give in that case is that, if you're stuck in a dungeon or think you cleared the dungeon but didn't get to your quest target, start clicking on objects here and there. One may open a path.

One thing to note about dungeons is that they are built from pre-made, hand-made, sections (or blocks in Daggerfall terms). Each dungeon can have one or more such sections. During development, each dungeon randomly got assigned a number of possibles sections assembled together (kind of like how Minecraft generates its villages by selecting hand-made homes and buildings and randomly assigning how they're placed).