By the preparation for removal, and his breaking through the wall of his house at evening, as one desirous to escape from the enemy, the prophet signified the conduct and fate of Zedekiah. When God has delivered us, we must glorify him and edify others, by acknowledging our sins. Those who by afflictions are brought to this, are made to know that God is the Lord, and may help to bring others to know him.
SDA Bible Commentary (limited)
Volume 1-7
12. Dig through the wall. This incident is not mentioned in the historical narrative (see Jer. 39:4), but there is no reason for assuming that the words were intended figuratively.