The Escape Orb's effect only works in battle, and robbing Keckleon isn't a battle. It's a special event where you try to steal items from his shop. The game considers this a separate interaction, not a standard encounter.
Therefore, the Escape Orb's effect of teleporting you to the Pokémon Center isn't applicable in this scenario.
You can, however, use other methods to avoid getting caught by Keckleon, like using a Thief's Scarf or having a partner with the "Thief" ability.