a tricky option
Do they have to KNOW that they are exiled? What if they ended up on a plane of the abyss that looked (at first) exactly like their homeworld/plane, except the BBEG is not there (they might think that they killed HIM in whatever explosion send them to this plane). Then they find out that some/a lot/all(!) of their "friends" and "allies" and "relatives" have "become" evil. Eventually they would realize they are on an evil plane, but if done right, the deception might last long enough for your purposes. and of course you could combine this idea with one or more of the above ideas.