I'd definitely bring it up with your T as it bothers you (it definitely would bother me!).


Given that the door is firmly closed, it must be obvious that the room is both occupied and there is a session going on. This other T should not be disturbing your session time like this.

Another suggestion, could your T put a 'Session in Progress - Do Not Disturb' sign on the door?

Hope you are able to get it sorted, I know how distracting and disconcerting intrusion into a session can be.