Not everypony can handle the idea of living under a changeling regime.
Some ponies are willing to take risks to avoid that sort of fate. Some try to sneak out of whatever city they're living in that happens to be under Queen Chrysalis' hoof. Some turn to professionals to help smuggle them out of the city.
And sometimes they succeed.
My entry into Perfectly Insane's dialogue only contest.
Knowledge of Equestria at War is useful, but hopefully not necessary.
Huge thanks to FanOfMostEverything for giving this a look-over.