I walked into the Atomic Wrangler in Freeside and played some games. Then I went to find my room on the upper floor. There was a room with a bounty hunter standing outside. I could open the door from the outside and enter (and it was some nice digs inside - probably the high roller suite), but when I turned to leave it said it required a key! Since there is only one door to this room, and it auto-saved after I entered (moving between two worldspaces), I presumed I was screwed. If you are playing on PC I'm sure there is a console command you can do to exit this room, but console players be warned:

Beware the corner suite in the Atomic Wrangler!

Unfortunately I had last saved over two hours previous to this and auto-saves were turned on for changing areas.

REMEMBER KIDS: Save frequently with multiple different save files!

Edit: clarifying that these are two different worldspaces (Wrangler and Corner Suite) which require a load and, should the option be checked for loading, an auto-save.