I'm of several mindsets on this episode in question.... ( I've seen it. )
1. He escaped and reunited with the Tanners later.
2. He got beamed up to Skip and Ronda's ship ala Star Trek.
3. He escaped, but couldn't return to the Tanners as they were now under servalance by the ATF, so he makes his way cross country, haveing many adventures on the road, possibly staying with other humans who became friends with. [ like you and me for instance

]
4. Everything happened just like it was shown in Porject ALF and then the other options listed here happened afterwards.
5. In a scene right out of Close Encounters he finds himself at Devil's Tower where he is picked up by a Melmac mothership and winds up on New Melmac where eveyone else from Melmac surivived Melmac going sha-boom sha-boom now lives, he's reunited with his real family.
I can live with several of these options myself.