What...not an option!
They would have made up a new song and everything. That would have ruined the whole movie.
Of course, the red brick road would have led her home I think. OR....I think she would have had better luck on the red brick road because it matched the shoes. I bet she would've gotten to the Wizard quicker with the red road. I think that the munchkins and the 'Good' witch were just getting their kicks sending her on the yellow brick road because they were bored.