If their home world is still Time-locked - it certainly wasn't in its original location as Missy claimed - then how did the newly-regenerated Master escape from the pocket universe? The last time we saw him, he was sucked into Gallifrey at the height of the Time War. That planet was next seen in Day Of The Doctor where it was saved by all thirteen Doctors by being sucked into a pocket universe. Finally in Time Of The Doctor, Gallifrey sent a message - and a whole host of regenerations - to the Doctor through a crack in space and time. The likely assumption is that the Master, or Mistress, found a way to escape in Day Of The Doctor. Perhaps he / she stowed away on board one of the thirteen TARDISes? Or maybe he / she escaped onboard their own TARDIS during the confusion of the final epic battle of the Time War. The latter might explain how she managed to harness Timelord technology to create the Nethersphere. Alternatively she might have found a way through the crack in space and time in Time Of The Doctor. Either way, the nature of this escape remains unanswered. If Missy really is dead then we might never know how.