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.