In the Jumanji universe, it's entirely possible that if you die in the game, you're simply returned to reality unharmed and escape. We never find out because all characters assume that you die IRL if you die in the game.
It's funny to think that in the reboot movies, they could possibly have escaped the game in a few seconds by simply dying a few times. Of course the original movie required going through the entire gameplay sequence but it's still possible that dying wouldn't have killed you in real life.