Found a couple! The first one is pretty simple. Rat king's room, the exit arrow is in the upper left of the screen rather than where they usuallly are:
The second one is a game-breaker unfortunately. Eastern building, beyond the burning village. The one where you get the executioner's hood. If you enter the rooms on the left-most and right-most screen, you can't leave. In the video below, you can see me going in one of these rooms, and then trying to exit. When I keep holding the down button, it just puts me back into that same room and my character sprite is now invisible (I think he's at the very bottom of the screen?)