We would have gotten shot down with her.

Pelicans are quite fast. In fact, that's how Sergeant Johnson got off Halo.

Pelicans can break atmosphere and have the ability to travel through space as well. You are right though in that a Pelican has no slipspace drives (Except for the modified one used by Kilo Five post-war), so they would not really be able to get away in it, they would just be able to escape the ring's explosion. In First Strike (which starts right after the events of CE) Chief has to board and capture a covenant ship called the Ascendant Justice to get away.