This happens occasionally. If you're on the PC, you can get around the problem by going up to the door, opening the console ( ` ), clicking on the door, typing "unlock", pressing and closing the console ( ` ) again. You can now open the door that Sally was supposed to open for you and you can proceed from there.
If you're on a console, about all you can do is reload a saved game and hope for the best the next go-around.
When I use the unlock command at this stage of the DLC the NPC's seem to remain frozen in this place until I have progressed to final stage of the DLC, then they turn up again. At first I wasn't sure if they were supposed to follow me somewhere else or if I needed Sally still to open any more doors etc, but it was ok.