I would bring it up informally with your boss first. "Boss, during the drill, the warden said that women wearing heels have to wait and let the men go first. Is that seriously the policy? Do you realize how ridiculously sexist that is? Because if it's not the policy, someone needs to make sure that warden is set straight." Then you can judge based on your boss's reaction whether he (I assume it's a "he") takes you seriously or tries to brush you off - and if he brushes you off, I would definitely take it up the chain. Especially since you have that in juxtaposition with the "women must wear heels" thing.
I agree, but I would just say the first two sentences and not go to the next two unless needed. Because once you say what you were told the policy is, your boss might be very shocked and you might not have to push farther. You might even phrase it as "Boss, I have a question about something I was told during our drill the other day. We were told that women wearing heels are expected to let the men go ahead of them. Is this correct?" and say it in a neutral tone, as if you were asking about which door to go out during the drill, or some other potentially confusing point.
The reaction of your boss might dictate what you do after that. If your boss says "Wait, what? No way, that is wrong and I will see what the misunderstanding is", then you won't have to even bring up discrimination or other factors. But if the boss says "Of course that's correct. Were you raised by wolves or what?" then you can pull out the bigger guns.
And ultimately, I think the issue needs to be addressed in terms of how to deal with awkward footwear during a crisis, should you take them off or what, because that's what is really the issue, I think.