22/88B+K aren't really close range evades. They're built more for evading pokes at mid-range or so. The side movement is too weak for them to dodge close-range attacks (oh how I miss SC2 Nightmare).
Basically defending with Sieg is kind of a reverse mixup (you have to make educated guesses about your opponent's offensive tendencies, which are best learned by just blocking when in doubt), and it's harder than ever in this game because there's so many REALLY fast characters in this game. But here are some moves that, used properly, can be GTFO moves:
K - Fastest move from neutral (i13). Weak to step and crouch/tech crouch. Minor advantage on hit. Follow this move up with other fast interrupts if your attack will win. 66K can be good here.
66K - Decently fast (i15) and really good tech crouch window. Knocks down on counter hit (easy to counter hit due to relatively fast speed and tech crouch, especially after a successful K or AA hit). Can lead to Brave Edge combo if you know it will hit.
1K/FC K - Fastest low (i15), but disadvantage on hit (-2, doesn't really save you from some characters like Alpha Pat) and really bad on block (-14 and you're in FC, which means if you don't get punished, you're going back to blocking), Use to train baiting opponents to focus on their ankles while waiting on Sieg's attack, or train them to try and bait a WS B or K (if you have the lifebar to gamble a bit playing that guessing game).
3K - Fast mid kick at i15. Can string to 3KKB for mid,low,mid and knockdown. Admittedly, I kinda sleep on this move. Short range, but favorable frame data. The kick on its own is -10 on block (but spaces out safely) and +4 on hit. The two last hits in the string are both unsafe on block (-19 and -16), but the sweep will catch step and the headbutt will combo from the sweep. The string seems good to try for if they've been attempting to punish 3K blocked standalone.
6A - Fast step killer (i15). Knocks down on run counter. Safe on hit. Weak to crouch and tech crouch. Strong right-side ring-out capability. Try to avoid guessing with this move and use on reaction to opponent's step.
agA - Another fast step killer (i17). Better knockdown on hit than 6A and advantageous on block. Just like 6A, vulnerable to crouch and tech crouch. A bit easier to use from slightly farther away than 6A (which is easier to use at smell-their-breath range due to the simpler input). Again, try to use reactively rather than predictively (unless your opponent is very predictable).
Throws - At i17, slightly faster than Sieg's AA. Tracks opponent's step, but extremely vulnerable to crouch/tech crouch. Use sparingly against opponents who step too much while baiting you. If they break, you're back to neutral. Poor oki to regain the offensive from, but good breathing room, and the A+G throw can ring out forward if the opponent's all the way at the edge.
b6 - Mid and very good range for the speed (i16). -10 on block, much safer if spaced for max range. +0 on hit. Vulnerable to step due to its linear nature. Good for checking people about to come at you head-on.
4A - i18, same as Sieg's AA speed. Stuns on normal hit, and leads to SRSH mixup from 4[A] transition. High and unsafe on block. Use sparingly, and you may as well go for the stance every time IMO due to the risk involved. 4[A] -> SRSH K is a good tech trap if you succeed with 4[A].
WS K - Tied with FC K for fastest option from force crouch, full crouch, or while-standing state (i14). +2 on hit, unsafe on block at -14. Vulnerable to step. Use CAREFULLY to interrupt an opponent pushing from disadvantaged force-crouch moves, as well as from Sieg's disadvantageous-on-hit low moves (2A, 1K).
SSH K - Sieg's fastest move (i10), but must come from SSH stance. Difficult to get safely into stance during close-range defense; 4B+K steps back generously, but the kick is high and can whiff if fired too early from stance, and SC5 Sieg's other SSH attacks suck for defense. Really more of an aggressive frame-trap/wall-splat tool than defensive tool IMO.
Preventative defensive moves:
22_88A - Not a GTFO move for in-your-face defense (i30 and requires step, way too slow for opponents already inside), but a good move like b6 to check people coming in at max range. Hits mid (really good because many opponents expect Sieg's horizontals to go high or low), comes from quick step, kills opponent's step, knocks down, only -9 on block. One of his best spacing moves. (Oh, and it tech crouches! Thanks to Spidey for the tip.)
3A/3aA - Same rules apply to these two as to 22_88A. Not for use on an opponent already in your face (slow at i19 and unsafe at -14), but good to check people coming in if you aim for maximum range. Can combo 2A+B almost anywhere, or 3B if you're both close to the wall or edge.
Most important rule of Sieg defense:
When in doubt, JUST BLOCK.
Guard crushes are bad, but they're made even worse if you sacrificed a lot of life attacking or doing other risky actions when you shouldn't have. Stay cool and observe your opponent's tendencies before you commit to any escape attempts. And if you guess wrong once, stay calm, get up as safely as possible, and go back to blocking. Don't turn one mistake into a slippery slope out of panic.
Sieg is not a speed demon, or super-deceptive, or a touch-of-death character, but a solid defense will give people pause, and when they hesitate, that's your cue to run it back, slowly and steadily.
EDIT: Was wrong about the throw speed. Thanks to ICE for the correction. I don't know a lot about GENERAL (non-character-specific) frame data in this game yet.