depends on the door. some are too large to fit through, but with unlimited ability to change form it's really just a minor inconvience. Like how sometimes in vampire mode i want to c heck the world map but can't.
I personally have no idea where these tiny doors are. I played through pretty much the entire Vamp questline as a VL, then went on a murderous blood-svcking spree across Skyrim, and never once found an impassable door. Just sayin'.
Edit: This may be due to the fact that my vamp was female. Don't quote me on this, but I've had a suspicion that female Vamp Lords are smaller in stature than males.