He actually tried to quit after they blindfolded him and moved him to South Korea, but producers just argued with him until he gave up. (This is a guy who is malnourished and starting to feel the psychological affects of isolation, he probably wasn't the hardest person to bend to the producers' will.)

He could have ignored them, stumbled naked into the streets of a foreign country and tried to beg for help, maybe using some form of pantomime.

Not literal locks and chains, but in the beginning, he probably didn't know what to expect, and by the end of the series, there was some strong psychological pressure keeping him there.