Warden Yun Ming, as soon as he took the half-soul of Hei Xiaojing from the two systems, Zhi Yang and Zhi Yue, he was prepared to leave the capital. He was only there to take the soul and give it to the God of Void. It was already decided that this half soul must be given to the other half soul in the borderlands. As for how it would end, that will be something the God of Void has to see for himself. He planned to head to the south as soon as he delivered the soul.
He didn't use teleportation, as that needed not only a space element but talent to control. Like other gods, long-distance teleportation is impossible for him. He would teleport away from its target location like how the God of Void suffered from it before. He had an artifact for teleportation, but that is only useful when he is in his god form. His human vessel might not be able to bear transport through time and space.