I think most any human has the urge to avoid or run away from all of their stress and worries.
In depression, however, it is a bit more extreme. In that, depressed folk do, run away.
And some, forever.
For most of us these thoughts retract and we get back to life, coping as we normally do. With depressed, an escape is sought out. The thoughts of escape are constant and the illustration they bring are those of momentary relief and in severe cases, eternal relief. Daydreaming about leaving this planet becomes a pastime.
As with other symptoms with depression however, the longer they are unaddressed, these states have an escalating nature to them.
A desire to escape in daydreaming format can and will turn reality. One begins to believe that they are stuck in their situation and not competent or capable enough to escape to another place.
Thoughts of running away become thoughts of suicide.
Over 50% of suicide cases are linked to depression. Although, something else to keep in mind, 2/3 people go undiagnosed. (So, that number could be much larger.)