Sometimes I have to stop a session (kid needs my attention, whatever). This is particularly bothersome in large mission maps, such as Exploitation. I thought I would be clever and would save some time by entering the Creature Challenge thing, and quit there – but it restarted me all the way back out at the beginning of the map, argh. Sometimes when I quit, when I want to leave, it won’t transport me back (when I’d like it to), but rather restart me from the middle – is there any method to the madness?
Simple answer: Nope!
Creature Slaughterdome should keep you there. Most people use this as a save point when they farm the LLM’s in the Doctor’s Orders mission, so my only guess is that you didn’t get the save icon before you quit, and therefore the game thought you were still in WEP. Either that, or… something!? I dunno! 
Simple answer: yes (there is a method to this). Gearbox don’t want people to save just in front of a chest and farm it by quitting/reloading. It’s an inconvenience in some of the larger maps, but that is just the way it is, I’m afraid.
@onomastikon I wrote a pretty detailed post about successfully saving at the Natural Selection Annex (NSA) door so you don’t have to trek all the way through WXP again. However, I lost the post’s location, and am mostly guessing at present until I can re-confirm.
Anyway, try collecting the slag samples, quit, then load your character at the main menu. If your character’s location says “Wildlife Exploitation Preserve”, you spawn back at the FTS; if it says nothing, you’re back outside the NSA’s door.