The quick answer is that they will be repatriated to North Korea. To leave North Korea without permission.... They don't have the same mobility rights that we do. They will be punished by imprisonment, torture, or execution. Depending on what circumstances they escaped through, whether that be a pastor, or a South Korean, or an American—and oftentimes these brokers could be two of those three things—they are more severely punished.
China, Laos, and Vietnam all will repatriate them. Thailand is the country that will deport them to one of the two countries: the United States or South Korea.