The one thing I find weird about Jesse driving off is that I wonder if the Nazis ever actually destroyed his confession tape, or if they were simply just watching it. There wasn't any indication that they broke it, so when the cops raid the place, there is a chance that they might see the tape and then all of a sudden Jesse is in deep shit. That's not exactly a happy ending for him as he's now gotta be on the run. Except this time he doesn't have Saul or any money to help him get to Alaska. All he really has is a lot of torment. His escape certainly must have felt good in the short term, but he is still going to have a lot of long term grief over it.