[lmm]

Friedrichstraße was famously like that during the Cold War (West Berliners riding the lines were not permitted to exit into East Berlin), although of course the stairs physically existed. I think it's unusual for an underground station to be built without digging from the surface, so there's normally at least a fire escape.

[em-bee]

i hope that safety regulations everywhere simply would not allow any station to be built without a way out.