I see the map now, thanks. Still it's weird. I checked with Google Earth, and if you fly straight North from there you have to cross a good deal of China, and it's 930 miles until you get to Russia; you will cross the border into uninhabited areas of Siberia, and you'd better know your way around to find a city with an airport (might be another 500 miles; maybe more if you want an English-speaking controller.)
On the other hand, if you fly the heading 58 degrees you will land at any number of airfields around Vladivostok after only flying 445 miles. One catch is that you'd be flying along the NK-China border, which might have a few radars. But it would be pretty foolish to assume that inner regions of China are not under some sort of air traffic control.
At this point I have no guesses what the intention of the pilot was. His route makes little sense. Maybe he intended to turn East at some point? I checked the specs on Wikipedia, and it looks like this airplane wouldn't make it anywhere but China anyway:
Like many aircraft designed as interceptors, the MiG-21 had a short range. This was not helped by a design defect where the center of gravity shifted rearwards once two-thirds of the fuel had been used. This had the effect of making the plane uncontrollable, resulting in an endurance of only 45 minutes in clean condition. The issue of the short endurance and low fuel capacity of the MiG-21F, PF, PFM, S/SM and M/MF variants—though each had a somewhat greater fuel capacity than its predecessor—led to the development of the MT and SMT variants. These had a range increase of 250 km (155 mi) compared to the MiG-21SM, but at the cost of worsening all other performance figures (such as a lower service ceiling and slower time to altitude).[1]
Someone already commented that probably the airplane ran out of fuel - this is very likely if the range is only 100-150 miles. The distance from Dandong (NK) to Fushun (China) is 125 miles per Google Earth - sounds about right to empty the tanks, especially if the pilot is not aware of how fast that is going to happen. Considering the center of mass change as the fuel is used up, it takes a pilot who is familiar with the aircraft to fly it past the 2/3 fuel point. I'm presuming NK doesn't have later modifications that somewhat fixed this problem. But even those modifications wouldn't have the range to reach Russia.
Maybe the guy just wanted OUT and saw the only chance to get OUT that he was likely ever to get.
I read an article in a magazine somewhere about an American civolan pilot who bought a MiG-21. He described telling the tower that VERY quickly after take off, that they would be hearing from him again, and that final approach would be like 200kts and that he would be nearly out of fuel.