I think your problem is that the INKEY() executes instantly and if you don't happen to hit the escape right at the correct moment then it doesn't get caught. I would try something like this;

llGetOut = .F.
ON KEY LABEL ESCAPE DO GetOut

DO WHILE NOT llGetOut
   * allow ESC or insert (for dev) to cancel seach
   ---code here
   **** more code here
ENDDO
ON KEY LABEL ESCAPE
RETURN

PROCEDURE GetOut
llGetOut = .T.
RETURN
ENDPROC

The OKL is a intercommand interrupt so it will be evaluated after each command is executed. Pressing escape will end the loop after the current iteration completes.