It was Danny who unlocked the door letting Jack out?

It’s a stupid theory. The entire video that is, not just this one instance.

Jack is talking directly to Grady in that scene. The ghosts have become strong enough by that point that they could physically interact with the world and free Jack. The evidence is this is the woman in 237 cause bruises on Danny.

I've heard the theory he let him out, but not this version. He still isn't the one that let him out, he was up in the apartment with Wendy.
The ghosts let him out. We are shown Halloran and Danny using telepathy earlier in the film where there is absolutely no ambiguity about that supernatural event happening. And Halloran talks about the ghosts, referring to them as burnt toast. So I'm not sure why people fight the idea that the ghosts are real. If people are reading minds then it's a supernatural film and there is no reason the ghosts we are shown would be meant to be interpreted as someone hallucinating.

I posit the theory that he was never in. The whole thing was a supernatural mindfuck, just like Jack sitting at the bar.

Honestly, theories like this, and like "Bruce was really dead at the end of 'The Dark Knight Rises' and Alfred was just daydreaming," or "John Mason from 'The Rock' is actually James Bond," just make me roll my eyes. They are a testament to the fact that some people just overthink the shit out of some things. And it wouldn't be so bad, if it weren't for the fact that for all these theories to be valid, the holder of said theory has to studiously cherry pick the evidence on screen he'll accept, and ignore anything (and there always are things) that flat out negate that interpretation of the film.