Charcoal, 77 bytes

ＮθＮηＪ‽θ‽η+Ｗ‹ＬＫＡ×θη«Ｊ‽θ‽η¿¬℅ＫＫ«≔Φ⁴℅§ＫＶκι¿ι§2064‽ι»»ＵＥ¹¦¹ＦθＦη«Ｊ⊗ι⊗κＦ›ＫＫ+Ｐ✳ＩＫＫ²+

Try it online! Link is to verbose version of code. Outputs an ASCII grid. Explanation:

ＮθＮη

Input the width and height.

Ｊ‽θ‽η+

Jump to a random position and mark it with a +.

Ｗ‹ＬＫＡ×θη«

Repeat until w*h positions have been filled in.

Ｊ‽θ‽η

Jump to a random position.

¿¬℅ＫＫ«

If the position is vacant,

≔Φ⁴℅§ＫＶκι

find any filled neighbours,

¿ι§2064‽ι»»

and if there is one mark its direction (choosing randomly if there are more than one).

ＵＥ¹¦¹

Insert blank rows and columns to make an ASCII grid.

ＦθＦη«

Loop over all the rows and columns.

Ｊ⊗ι⊗κ

Jump to the (expanded) position.

Ｆ›ＫＫ+

If this isn't the original +,

Ｐ✳ＩＫＫ²

then draw a - or | in the appropriate direction.

+

Replace the digit with a +.

Charcoal, 77 63 bytes

ＮθＮηＪ⊗‽θ⊗‽ηＰ+  ¦+Ｗ‹№ＫＡ+×θη«Ｊ⊗‽θ⊗‽η¿¬℅ＫＫ«≔⌕ＡＫＶ ι¿ι«Ｐ+  Ｐ✳⁻χ⊗‽ι²+

Try it online! Link is to verbose version of code. Outputs a whitespace-bordered ASCII grid. Explanation:

ＮθＮη

Input the width and height.

Ｊ⊗‽θ⊗‽ηＰ+  ¦+

Jump to a random position and mark it with a + surrounded with spaces. (Unfortunately Charcoal's Multiprint operator special-cases a leading + so I have to output the + separately.)

Ｗ‹№ＫＡ+×θη«

Repeat until w*h +s have been output.

Ｊ⊗‽θ⊗‽η

Jump to a random position.

¿¬℅ＫＫ«

If the position is vacant,

≔⌕ＡＫＶ ι

find any neighbouring spaces,

¿ι«

and if there is at least one, then

Ｐ+  Ｐ✳⁻χ⊗‽ι²+

surround the current position with spaces, draw a - or | in a random matching direction, and finally draw a + in the current position.