The obvious answer is: turn on course when you can safely do so. In reality, though, you - hopefully! - shouldn't find yourself in this situation anyway, because it would mean that something strange happened with your clearance.
Your question is a bit unclear because you didn't say exactly what the full departure clearance - or most recent clearance - was but as far I know "cleared direct KLOZ" isn't a valid departure clearance. The ATC orders (section 4-2-5) say that "cleared direct" is only used for amending a previous clearance and ATC must include the route of flight in your initial one (section 4-3-2):
d. Route of flight. Specify one or more of the following:
1. Airway, route, course, heading, azimuth, arc, or vector.
2. The routing a pilot can expect if any part of the route beyond a short range clearance limit differs from that filed.
So your departure clearance should have both the clearance limit (KLOZ) and the route, maybe something like this:
N12345 is cleared to the London-Corbin airport as filed, via radar
vectors, then direct. Altitude 2500, expect 6000 within 10 minutes,
departure frequency 123.9, squawk 1234. Clearance void if not off before 1200Z.
Obviously the details may be different, but the point is that if ATC didn't give you specific instructions on the initial route - even if it was just to expect vectors - then you should have asked for them. Otherwise you're taking off into IMC with no idea which direction to fly in. KDKX is uncontrolled and there's no tower to give you an initial heading after takeoff, but it would be surprising if you didn't get something in your clearance, considering that taking off from 24 puts you under McGhee Tyson's class C almost immediately.
But let's say that you got the clearance I mentioned above and your comms failure happens after you enter IMC but before you can contact Knoxsville Approach for your vectors. 14 CFR 91.85 says you should fly:
If being radar vectored, by the direct route from the point of radio failure to the fix, route, or airway specified in the vector clearance;
In the absence of an assigned route or a route that ATC has advised may be expected in a further clearance, by the route filed in the flight plan.
That means ATC will expect you to fly directly to KLOZ but obviously they don't expect you to fly into a hillside or transmission tower if it's in your way (and they know as well as you do that those obstacles are there). As PIC you have to make a decision on what the safest thing to do is in the situation, considering the class C nearby, any traffic you heard (or can still hear), local weather conditions and your aircraft's capabilities. Personally, after squawking 7600 I would make a left turn back east - to remain clear of the class C and the towers NW of the field - and climb over or east of KDKX until reaching a safe en route altitude. Then I would continue directly to KLOZ as filed, still climbing if necessary to reach my cruising altitude. But that's just one option, another 'obvious' one would be to fly the published ODP:
Rwy 26, climb heading 245° to intercept VXV R-275 to 3100 before
proceeding on course or for climb in visual conditions cross Knoxville
Downtown Island Airport at or above 3300 before proceeding on course.
But if I hadn't briefed the ODP - which I should have, especially in relatively low IMC - because I was expecting vectors, there's no way I would try to dig it out and brief it on the spur of the moment.