Because it is the best, or at least the most memorable, level in the entire game. Enough said. As far as transition goes, it flows better than suddenly switching to Xen in the first game. Now, for an actual reason for in-universe sake...
Black Mesa East was under attack. That entire force was tasked with looking for Gordon, and it's a safe bet that as soon as he showed up, Doctor Mossmon (however you spell it) sent the word out. That was a lot of soldiers, since they were able to capture Eli, since I'm sure many people died trying to save him. Alyx probably already knew Gordon could handle himself, both from what she'd seen and stories her father told her, so she figured that Gordon would be able to safe enough. All other exits were blocked when that tunnel collapsed, and the gravity gun can't move boulders or heavy objects, so he couldn't dig himself out. There would have also been the risk of further cave in if he or Dog had tried to move the rocks. And there would have been no way for Gordon to hang on to Dog's back while he climbed. Have you seen the way he moves when he's in a hurry? Too jerky. So, that's my answer.