I can confirm OP's original observation.
Using cheat modes: Invisible: ON; god mode: ON

With Tux invisible, Tania will respond to the dialog prompts to initiate her
escape and return to town.
Underground, she does not follow Tux.
Upon reaching the surface, Tania suddenly appears next Tux but will not follow
Tux into the desert.
At the town gate, Pendragon will stop Tux and proceed with the dialog as per
normal. On exiting the dialog, Tania is suddenly present next to Tux.