A very apt word for describing a room that cannot be entered is unenterable. As you imply, this word doesn't appear in dictionaries such as Merriam-Webster's Eleventh Collegiate Dictionary (2003)—though enterable does—but it has a long history of use, and I'm not sure what other criterion a word has to meet to qualify as a word.
A Google Books search for unenterable returns close to a hundred unique matches, dating back to the 1800s. From Robert Southey, notes on "The Destruction of the Dom Danael," in Southey's Common-place Book (by 1843):
The perpetual wind which rushing out of a cavern renders it unenterable, may guard the entrance to the Domdanyel.
From John Ruskin, letter to Lady Tervalyan, September 26, 1856, in The Works of John Ruskin (1909):
My father and mother had to sit it [a violent squall during a passage to England on a steamboat from Calais] to out all on deck—we are none of us ever ill—and the cabins were unenterable, except by creeping on all-fours over the fish-heaps.
From Carolyn Wells, The Mystery Girl (1922):
We've examined all the window sashes and door frame—oh, well, so far as I can see the room was absolutely unenterable. But, notwithstanding, I'm going to work on a murder basis. Because inexplicable as that seems, there are even more insurmountable difficulties in the way of the suicide theory.
From Missouri Division of Geological Survey and Water Resources, Caves of Missouri (1956) [combined snippets]:
As you climb up over the island, you will pass a small unenterable cave mouth and find a serrated, craggy, ridge crest on your left. Some of these crags are isolated, irregular pillars higher than they are thick, perforated by spongework cavities, and unlike almost anything else in Missouri topography.
And from Poul Anderson, Time and Stars (1964) [snippet]:
Nevertheless, the Pacific States had gained enormously in prestige and influence when the Order's unenterable Central was established in San Francisco at the time when the city was being rebuilt in earnest.
As for a single word that describes a room that cannot be entered or exited, I suggest unreachable, since, if you can't reach a room, you can't enter it, and if you can't enter it you can't exit it either.