You need to consider a number of issues:
1. What is your current visa status?
2. Where is your passport
3. What stage is your application at?
4. Did you sign a contract?
5. What does the contract say?
On face value, as long as you are not under their sponsorship and you have your passport with you, you can quit and seek employment elsewhere
You need to speak to your employer, explain your situation and your worries and see what they have to say to you
You need to consider a number of issues:
1. What is your current visa status?
2. Where is your passport
3. What stage is your application at?
4. Did you sign a contract?
5. What does the contract say?
On face value, as long as you are not under their sponsorship and you have your passport with you, you can quit and seek employment elsewhere
You need to speak to your employer, explain your situation and your worries and see what they have to say to you
PM me if you need detailed advise