I don't know what you're imagining the Ecuadorean embassy to be, but it's actually just a large-ish apartment in a normal apartment building. There aren't that many doors, probably only a front door and a fire escape. And from the photos, I don't think they're on the ground floor either, so they can't even tunnel out...

That's one of the reasons they want rid of him - they didn't have much space to start with.