When you go to the Save / Load menu of the game and if you look at the bottom left of the menu, that's the location of where all the saves of your prisons located, even your campaign saves.

But the thing is - The folder "AppData" is probably set to be invisible (as a hidden file) in your personal files but you can still access it by either using the Run program and type in "%appdata%" or by going to the Control Center > Appearance and Personalization > File Explorer Options > Show hidden files and folders then check "Show hidden files, folders, and drives" to make all hidden files visible.

The saves folder should look something like this:

I've made three references in this picture, can you find them all :3 hue

There are two types of save files:
PRISON is your main save file (Which are playable in Escape Mode)
CAMPAIGN is the save file that you saved during Campaign Mode
PNG is just an image, just ignore it.

Let's say you are very impressed of your hard work in the Chapter "Conviction" and you're thinking to yourself "Wow, this is the best prison that I've ever created but I wish I can play escape mode on either of these two prisons"
Okay, that was probably ♥♥♥♥♥♥ but you get the idea, right?
Ahem, if you want these prisons to be playable in Escape Mode such as Death Row, you have to convert the "CAMPAIGN" file into a "PRISON" file.
You can do that by simply renaming the file, just swap ".campaign" with ".prison" and that's it.

Once you're finished editing the type of the campaign saves, you're ready to go.
Just go to Extras, Escape Mode and try to escape the pre-made prisons.
Or you can just play it normally through "Load Game", it functions just the same.....mostly.

You're able to play Escape Mode on these prisons that comes from the Campaign Mode.

Thank you for reading this guide and I'm looking forward to read your feedbacks in the comment section.
Thanks and have fun!

Oh and Merry Christmas, everyone!!!