You can backtrack through the challenges to leave at any time. To leave from the falling blocks or the sand room, there is an exit at the bottom left, where you can climb down the rope or just let the blocks fall under you.
To complete the challenges, see the related question.
The Sphinx is at Giza on Nabooti Island (Egypt is in north Africa). The blue jewel is in the tomb beneath the Sphinx.
The tomb is inside the Sphinx at Giza, on Nabooti Island. (see related question)
On Nabooti Island, the Blue Jewel is in the Mummy Room of the Sphinx at Giza.
The Moonstone will open the Sphinx. Climb to the top of the Sphinx and put the stone in the ring there.
There are no keys on Nabooti Island. The Sphinx at Giza is opened by the Moonstone that Vince and the tomb robbers have found. It is placed in the ring atop the Sphinx. (see related question)
The blue jewel for Nabooti is in the tomb inside the Sphinx at Giza. (see related question for solution)
Vince is Vince Graves, fortune hunter and tomb robber. He is looting the tomb of the Sphinx at Giza on Nabooti Island. He has the Moonstone in his bag, and if you get it, you can open the Sphinx. (see related question)
The blue JEWEL, one of the five missing JEWELS on Nabooti Island, is located inside the tomb in the Sphinx at Giza. (see related question)
Use the Moonstone to enter the Sphinx, and solve the three challenges there. The Blue Jewel is in the Sphinx.(see the related question)
The blue JEWEL, one of the five missing Nabooti JEWELS, is located inside the tomb in the Sphinx at Giza. (see related question)
The mummy case is part of the last challenge in the Sphinx at Giza. There are four challenges in all. (To defeat the sphinx, see the related question.)
The Moonstone is in the bag. Call Vince on his phone and grab it. You can use it to open the tomb in the Sphinx.