How could they break through the wall to get out if the training room was underground?
Something got me thinking, Saitama fought Boros on top of the ship and the fight ended there as well, why did Saitama go down into the ship and punch his way out when he could have just jumped down?
The building was located on the side of a mountain like so.
So Saitama simply punched through the mountain. It's fine, anyway. It's not like destroying a mountain is all that weird for him to do.