I used ship to get my Shai to Land of morning light.

Then I entered Sea Palace (jump from the cliff).

When I use the Sea Palace's map I have only option to "Teleport to Velia". I want back to Land of morning light. I finished Event quests on another character.

(It is possible to swim to island BUT it takes ages.. I used "Escape" option.)

I guess the map should have option to "Teleport to Land of morning light"!

As specified in the patch notes, the teleport to both options has been removed, and only one has been kept. For those who have unlocked the Magnus towards LoML, the teleport will point to LoML. If not, the teleport will point to Velia. The original location from which you entered was not relevant. 

This is not a bug, simply annoying. You can use a travellers map from the marketplace to teleport to LoML anyway though, and get your shai back to LoML

IMHO it is not annoying but STUPID. Sea Palace i geographically part of Land of morning star area. But when you enter you cannot go back.. really stupid.

SOLUTION:

I was able to escape. I left through entrance into sea, swim up. Then looked around for nearest pirate ship and swim there. I got killed by pirate ship. Then I choose "Ressurect in nearest town" and I appeared on Island - Land of morning light.

my game just hard CTD it seems when i try to connect to my alt thats in the sea palace.

Try deleting your cache in both locations:

Documents\Black Desert\UserCache
<GameInstallationLocation>\Black Desert Online\Cache