I've stumbled upon a few Johnny Cage questions here, and it remembered that I always had this doubt.
Well, it is never actually implied they went to Netherrealm, but to those who know Scorpion, knows this is kind of his thing and he is the ONLY ONE capable of traveling freely back and forth to Netherrealm, and that place surely feels like it.
How did Johnny Cage manage to leave Netherrealm after killing Scorpion?
I could make some guesses and say that maybe they could have said that Raiden took him out of there (although he isn't capable to my knowledge, plus he had no way to know he was there). But the movie sure made it look like they had no idea how to solve this and simply lazily brought him back.