I decided to head back to the Zero Dawn Facility in Sunfall and investigate some more after the story took me both in and out of the level. I found the entrance behind the stadium, but it took me almost two hours to figure out how to get out again. Thanks to Mick for guiding me through the level, I thought I’d share where the exit is.
It’s literally where you spawn in when you enter manually, which is a different place than when you enter via story mode for the first time. Look for a yellow ladder in a confined room with a round door.
Here’s a map screenshot, it’s towards the bottom left on the 2nd level map (lowest).
If you find it tricky to get through the door, try either crouching or rolling through.