There are a lot of wonderful words describing the longing to be somewhere else, often they are German. There’s WANDERLUST - a strong desire to travel - Then there’s FERNWEH, which has more of an ache in it. Like wanderlust is something happy, which you could fix with putting on boots and talking a walk outside, while fernweh (literally ‘farsickness’ or 'longing for far-off places’, as contrasted with heimweh) is an almost painful longing which will stick with you wherever you are.
And ofcourse there’s good old ESCAPISM - the tendency to seek distraction and relief from unpleasant realities - which is probably more related to where you are, then where you want to go. This song has traces of all three, mixed with something for which I have not found a word yet.