"Do we jump out from the room?"
Translation:Kiugrunk a szobából?
No, not really. When the focus is on the verb, it usually stays intact. If you want to emphasize the noun ("szoba"), then you do this:
"A szobából ugrunk ki?"
Another reason for splitting the verb is to express current action.
We are just now walking out of the room:
"Éppen most sétálunk ki a szobából."
On a closer look, this is not "another reason", because here, too, the focus is on the "right now" and not on the verb itself. So the verb, invariably, gets split.