Safety first. In our games, we do not lock the door. The objective of the game is not escaping the locked door but finding something narrative based. Usually, at the point, where you will solve the mission, you’ll find the last key, but the door won’t be locked. Players are able to leave the game/exit the room at any time.
The Gamemaster is following what’s happening in the room the whole time (not recorded, of course). She or he can help you with a hint at any time.