Where do you think the Exit opened up to?

Hollywood?

It opened up into something exactly like this
http://www.youtube.com/watch?v=4zqFjXxj5ms

It probably opened up to a maintenance passage way or something. Then someone met Truman possible after he stepped in.

Somalia

Didn't they show you on a global map where the fictional city was located?

In Truman the Sequel it shows that the door leads to his living room, coming from the bathroom.
Very frustrating.

FIJI

From the trivia section:

after Truman passes the door he meets Christoff and the main cast members on a rooftop while in the film the story ends with Truman's exit from the fake world. In the encounter at the rooftop which was in the script the actors stare at him sheepishly but Truman in his rage attacks Christoff and tries to strangle him but the rest of the actors hold him back. He is finally reunited with Sylvia.