This door door will not open at the actual version. It's something, that should be worked on, but saddog has other preferences...
At least if you are a member of the gang, it should change, but that has not been implemented till today, so yeah, you can stay at this door, and tell yourself (after you get in the gang and got the key) that there must be a way to get in...
That and some other things made this game right now a little frustrating to play, the fact, that most of the things you do, have no influence on the following reactions/scenes...
I think this game has good ideas, but as long as plenty actions don't have "consequences" it's a little annoying.