When you choose the wrong door, instead of automatically being ejected from the dungeon, how about making a very powerful boss and adds appear behind the players, which they must fight.

If the players successfully kill the boss and adds, they get another chance at opening the correct door. But of course, the correct door has been randomized again so it's not clear which one is correct.

If they open the wrong one again, an even more powerful boss can appear.

This would be more thrilling than the anti-climactic forced exit from the dungeon.