Defecting to the Soviets would be an odd move, but necessity can create strange alliances. The fact that Roehm is likely to be solidly anti-Hitler might be enough to soften his dislike of communism in the face of a shared enemy.IMO he wouldn't go to the USSR. He may have been more 'socialist' (actually populist would be a better description IMO) than some of the rest of the Nazis, but he'd spent his whole adult life fighting the communists.
In the unlikely event of him escaping the slaughter and making it across the border, I can't see the French, British or any western European country handing him back to be murdered.
I would agree that France or Britain would not extradite him to Germany, but I doubt they would let Roehm settle down either. Captain Poplar's comparison to Trotsky seems like a good way to encapsulate Roehm's position; like Trotsky, Roehm and the problems he brings with him will not be welcome in Western Europe. He will probably end up wandering until he's somewhere he thinks is far beyond the reach of the Nazis.