Going straight to the tower might have saved Sunny and Cassie a lot of time, but it was also the most dangerous direction. Not only was Undying Slaughter prowling somewhere in the mist, but Devouring Beast was also not far away.
There were other horrors waiting for them in the forest, as well.
Luckily, there might not have been a more elusive duo than Sunny and Cassie in two worlds. With the blind girl riding Nightmare, they could move swiftly in the darkness. Since she was sharing his senses, they did not need to carry a source of light with them, thus avoiding unnecessary attention.
Sunny could detect most dangers far in advance, and Cassie's supernatural intuition warned them about those threats that could not be perceived that easily. Added to the extensive knowledge of the island, that allowed them to avoid confrontations with its prisoners and advance inland stealthily.