I really liked the idea of Spikeways from the novels, The Spikeways are set up with two heavy shafts of iron, which are planted into the ground, these are spaced out at great distance, linking Luthadel with one of its outlying towns, such as Fellise. Through the use of Allomancy a Mistborn could use the spikeway as a rapid system of transportation, leaping and pulling himself through the mists as night. This system of transportation is vastly quicker, more so than a horse at full gallop, allowing one to arrive between Fellise and Luthadel within an hour.
As mentioned in the books, the first time one uses the Spikeway, you really are not sure what will be on the other side of the great leap, should the Spikes be removed, the player would come to a fatal end, unless he takes one of the iron shafts with him, pulling it up from the ground, to use as an anchor should the route be incomplete.
The only obstacle is the wall surrounding Luthadel, but should the Mistborn be using his cloak he wont attract the attention of the wall patrols, as they keep clear of the noble Mistborn assassins.
I have set up the information of Spikeways as a Minor Secret, which can be discovered within your campaigns, once the players know of its existence, they may search for other routes.