It's a little known secret of WWII that the U-bootwaffe possessed tugboats with hyperdrives.
Isn't there is an "Abandon Career" choice in the menu that comes up when you hit Esc to leave a mission? Now you've got me wondering!
I do know that Jaesen's excellent SH3 Commander has the option of allowing your Personnel File to show that you abandoned ship and were taken as a POW.
Anyways, glad you made it out of there safe. That won't happen again after you reach 1942.