I gave the Brush of Truepaint back to back to Raythe Lythandas, he waved his arm, but no door appeared. The only thing he says is "Let's get home. Tere's no time to waste."

How do I get out of the painting?

It's a known bug that the door sometimes doesn't appear. The usual recommendation is to save before giving him the brush.

If you're on PC, the bug is fixed by the Unofficial Patch.