Why do you think that Joey kept on running after he lost Captain Nicholls?

Joey had no choice but to keep moving. He ran because he was afraid, and rightly so, if he hadn't run he would have been trampled by the horses running behind him.

I saw the grey soldiers ahead of us raise their rifles and heard the death rattle of a machine-gun, and then quite suddenly I
found that I had no rider, that I had no weight on my back any more and that I was alone out in front of the squadron. Topthorn was no longer beside me, but with horses behind me I knew there was only one way to gallop and that was forward. Blind terror drove me on, with my flying stirrups whipping me into a frenzy.