If we look at the Range section of the PHB we see this:
Spells, such as the shield spell, affect only you. These spells have a range of self. (PHB pg. 203).
Misty Step has a range of "Self" (PHB pg. 260).
Since the range of Misty Step is self it only affects you and any belongings on your person.
In conclusion - NO, as cool as it would be to do so, Misty step's range limits you to only teleporting yourself not other creatures (willing or no).
That being said, I'll leave my original answer below, provided that the glue working on creatures is the only house rule your DM made. Ultimately, it will be his or her call, though.
No, you can't break the connection with any kind of teleportation, unless the description of this teleportation explicitly states so.
The description of Sovereign Glue (DMG, p. 200) explicitly states:
Once it has done so, the bond it creates can be broken only by the application of universal solvent or oil of etherealness, or with a wish spell.
Specific overrules general, so even if you had a means of teleportation that stated something like "breaks any attachments to objects or creatures too large to teleport along", you couldn't teleport away from the glue.
However, I don't know of any means of teleportation that has something even remotely similar to this in its description, so according to RAW, the answer is clearly a strict No.
So, what are your other choices?
- use one of the means that are described in the description
- cut off your hand, or flay your hand
- cut out part of the wall
- remain there forever and die.
Mind you - Sovereign Glue is a legendary item, so it should be accordingly powerful.
In fact, your DM might even rule that chopping off your hand or carving out a piece of the wall is impossible, since you are glued to the wall, and that bond cannot be broken by any means other than those explicitly mentioned in the description.
Best Answer
According to the description from Tales of the Yawning Portal p. 100 (or here on DNDBeyond):
The adventure book does not describe any mechanic for sustained damage once the creature exits the boiling mud. Of course, your DM is free to houserule otherwise, but if he doesn't it can be assumed that the mud does not continue sticking to you in an amount enough to cause further damage once you're out (no matter how you get out).
Now to address your direct question: there is no mechanic for what happens to things stuck to you when you cast misty step. Personally, I would rule that there would be a thin layer/traces of mud stuck to you afterwards (the same way that teleporting out of water might leave you wet), but not enough to do any significant damage.