The only person who can possibly kill Killua before he can finish saying a wish would be Meryem, but that's not even relevent because originally he was making a wish inside the room where Alluka is locked up. He had enough time to make that convoluted 'if then else' wish so he certainly has enough time to say 'teleport us a few thousand miles away'. That'd be instant game over for the rest of the family. They'd have absolutely no recourse and Killua can take his time to figure out the next sequence of wishes to get the job done and clean things up.
We know Killua must have abused Nanika in the past, because otherwise it's impossible for him to know exactly what wishes are possible. Ilumi didn't even think teleportation was possible, but Killua knew it was. The only way he can know is if he tried teleporting something with Nanika before, and he could not have paid the price for that because that'd be way too risky (what's the price to teleport something? Should be way higher than being a millionaire). Even if he made a wish like 'tell me what you're capable of doing' that'd still require a freebie, because again something like this is too dangerous to attempt. You can't place a value on what is the price 'to know Alluka's full powers' and looking at what Alluka charges for even a millionaire wish, if Killua actually attempted these wishes the normal way before then the Z family would've already been wiped out.
He's going to abuse Nanika anyway, because he has no possible way to pay back the price for curing Gon. It's clear his plan all along was to use a free wish on Gon, probably because nobody in HXH can possibly pay back the price you need for such a wish. Even his final wish was for Nanika to not listen to OTHER people's wish. He is still keeping the option for himself.
Killua isn't some lame hypocritical guy who is freaking out about how to handle the power of infinity. He is clearly aware that Nanika's power is crucial to being able to protect her and he's not afraid to use it. He's also selfish enough that he's willing to sacrifice Nanika for his personal happiness as he did when he told Nanika to never come back (and that wish sure looks premediated as opposed to something he randomly thought of). But here's the problem: if you are willing to abuse your wishes and you ultimately don't even care what Nanika thinks, why on earth would you take any chances on whether Alluka gets hurt? Because Killua is not a hypocrite, he should come to the conclusion of something like "I'm going to have to ask for a wish I cannot possibly ever repay, and I'm going to banish Nanika into the void after I'm done anyway, so since I clearly don't care about Nanika's feelings at all, maybe I should ask for a utility teleport and memory erasure to make sure Alluka doesn't needlessly get put into life and death situation."
---------- Post added at 06:47 PM ---------- Previous post was at 05:11 PM ----------
By the way you can surmise Killua's priority is something like:
1. Cure Gon.
2. Protect Alluka.
3. ????
4. Candy
5. Nanika's feelings.
Now let's go back to the Ant arc. Pitou, who is stronger than all the assault team present put together, and who is quite sure he can take out Gon in one hit, still did not wanted to fight him while Komugi is around because he fears any stray hit could kill her.
This means even if you're unfathomably stronger than your opposition you might not be able to keep a random, completely normal person alive in the middle of a serious battle.
It goes without saying Killua expects significant opposition from Ilumi to get Alluka to where Gon is. There's no reason for him to assume Alluka wouldn't die to any stray attack even against say a random guy controlled by Ilumi.
And because Killua isn't some kind of hypocrite that pretends he's holier than thou, and he places Alluka's safety way above anything related to Nanika, he should've used Nanika's teleportation power to get out of this mess. Indeed, even if he did make a wish like 'make me strongest person in HXH', it's not certain Alluka would get out alive. Meryem, after all, failed to protect Komugi against a trivial attack (relative to him) and he was definitely the strongest being in HXH.