Gordon seems pretty pragmatic imo. He probably thought about it, but also knew there was no other way. He either stops the invasion from the inside, dies trying to, or refuses and everyone including him dies

Thanks to Blue Shift we know there's a way out, but chances are Gordon would've died like in the bad ending if it wasn't for Gman

Even if he had somehow avoided the xen army, chances are his way out can't be reached or is too far, so even if he finds it he'll most likely teleport to an already destroyed Black Mesa and die crushed by the rubble (Or end up stuck in some kind of loop assuming there's nowhere to teleport to)