On the final screen in character creation (where your character name is), you can use “/” (or is it the other slash?) to choose where you want to start. I found the finale to be the best place for starting when I’m trying to escape.
The default location in the lab almost always contains a brute in proximity to the cell. It can be evaded, but can also knock you around pretty good.
If you’re using the same world for the lab start, I recommend resetting it when you die. This will clear away your previous characters experience, so you won’t be stuck in that ‘certain death’ room from before. Alternatively, if you start a character enough times it should randomly put you into a different lab at some point. Alternatively, alternatively, you can choose a different location from that menu option I mentioned above.