Add

<UnlocksShopItem>Scroll_Escape</UnlocksShopItem>

to the improvement you want it in. If you are putting it in a /mods/ file in the grocer for example

    <ImprovementType InternalName="Grocer">
<UnlocksShopItem>Scroll_Escape</UnlocksShopItem>
    </ImprovementType>

Which building do you want to add it to?

This is an example of a mod that will add it to level 1 cities only:

    <ImprovementType InternalName="CityHub1">
<UnlocksShopItem>Scroll_Escape</UnlocksShopItem>
    </ImprovementType>

copy it into a file you create in the /mods/ folder. If you want to add it to more city levels, go to data/english/core improvements/CoreImprovements.xml and find all the buildings with internalname "Cityhub" something. Then repeat the code above in your mod but change the internalname to the different city levels instead.

If I could just help you understand.

Right now when you press shop the items you see represent two things.

A. The lvl of tech you are at (ex, when you research horses you can buy horses from the shop for your champs)

B. The improvements you have in your cities (I don't know of an item that get's unlocked by that.. so sry )