Attempting to use a toy (when not aroused enough or in a place when you're not able/not meeting the exhibitionism levels) the scene will have no prompt to exit them.
Attempting to use any piercing will place you on a screen with only the [Next] Prompt and no way to leave it unless you use the cheats menu to force a dialogue prompt (like using dr. badgers option to create a dialogue with the exit option at the end)