In Lost in Parking Space (both parts), why couldn't they all climb out through the sunroof and get help? It's not like anything was perventing the gang from going with Foxxy. Even Xandir climbs out yet nobody else does the same.
They're all idiots who frequently miss obvious solutions for the sake of a joke. Or they would be afraid of Captain Hero shooting them. But if you want individual reasons: Captain Hero and Spanky would want to keep Spanky in power and wouldn't want to go out into the cold, freezing world; Toot would be too fat to fit; Ling Ling wouldn't want to leave his fish behind; Wooldorf's an idiot.
See below response.
What happened to Clara's kingdom? Even if she is a parody, why would that stop her kingdom and family from existing? The show still takes place in the same universe.
Taking the context of the series and her character into account, the movie implies that Clara is a pretender who is most likely suffering from Napoleon Delusion. It is also possible that this applies to her father as well. Though considering the nature of this series...