In several episodes we see that anyone with powers can teleport more than themselves, but that like someone carrying another person and running, it takes energy and strength and endurance to do so.
This is also shown when John and Russell go cross-country to attend Russell's father's funeral. They cannot simply teleport from NYC to Oregon, but actually have to make stops along the way.
Clearly the distance they travel and the amount of extra weight they are carrying all factor into the energy/strength drained in making their teleports.
Also, watching the series, and understanding that the original series debuted in the 1970s around the same time as the creation of the X-Men character Nightcrawler you can see a lot of similarities in the "rules" of their teleportation powers.
Hinting throughout the modern series at this notion of a new utopia or safe land that only people with powers can reach, we learn that this place has something to do with the notion of "Limbo" a separate but connected, alternate plane of existence. Reaching Limbo required stopping time at the moment of death, as if the "soul" was traveling from our reality through Limbo to the afterlife, and that stopping time would actually stop this travel and let the "soul" exist in Limbo, having stopped time for their body's death.
There were also mentions very early on that Ultra was teaching its agents with powers about the quantum electrodynamic properties of their skills, and from contemporary quantum physics theories (seen horrendously butchered in "Interstellar") there is the notion that our existence that we "observe" is actually along a (projected) manifold in a very high-dimensional set of spatial, gravitational, electromagnetic, and nuclear dimensions (with the possibility of others as well).
From that point of view, and similar to Nightcrawler's abilities, the people with powers (of which, the Tomorrow People are a subset) are actually unprojecting themselves off our manifold of existence, into the higher dimensions of reality and projecting back down to our plane of existence, when they teleport. This is exactly the same as the pencil and paper explanation in the film "Interstellar", as stolen from the infinitely better film "Event Horizon".
So, considering these energy limitations, considering that their preternatural "sense" of location from where they leave to where they arrive throughout a teleport is aware of dense, solid matter, and considering that their lair is an adapted walled-off maintenance station from an abandon line of the NYC subway, the reasons they tend to almost always use the subway ride before jumping to their lair are:
They take a rarely used line and find an empty car so that they will not be revealed when they disappear, as they try to keep their nature hidden from the world.
They are hiding their psychic energy underground from Ultra, with the dense materials of the earth and streets and wirings of electric utilities and water from sewer systems between them and the Ultra scanning. It is also mentioned that running water hinders their powers, ostensibly from quantum electrodynamic properties of fluids in rapid motion and large quantities. The same would assume to work with electric cables, but our electric cables are usually quite thin, since the electric resistance of a material grows proportionally with its cross-sectional area, limiting its "throughput" of energy.
Considering their similarities to Nightcrawler, this preternatural ability to properly spatially locate in known or unknown locations when arriving through teleportation is much like a reflex where when falling we put our arms out naturally to project and stop ourselves from hitting the ground and being hurt. The further the distance, or the denser the material they must "pass through" (even though actually they're side-stepping it through unprojection into higher dimensionalities of existence) the more difficult it is to be sure that they won't land inside a wall. Using the subway car they are getting as close to their lair as possible, thus minimizing the distance and density of materials between them, and conserving energy, both for considerations of personal fatigue and to limit their "psychic signature" from being detected by Ultra.