
The Very Lost Citadel
The door, which seems to be hovering without a wall, leads to a location called The Lost Citadel. There is no reference to this location on the Unofficial Elder Scrolls Pages, the best resource for information about Oblivion.
This wasn’t added in Oblivion Remastered, as commenter DumbWeatherNerd has posted a screenshot of the same door from the original release of Oblivion. They add that using console commands to unlock the door doesn’t change anything, as you still can’t enter the unlocked door.
The specific random plane this door is found in is Random Oblivion World 2. This is the world that connects to the gate outside Chorrol, and notably contains Hatreds Soul and Hatreds Heart, an enchanted daedric bow and an enchanted daedric mace, respectively.

With this in mind, we can speculate that The Lost Citadel may have been an earlier concept of The Embers of Hatred, the location within Random Oblivion World 2 where one finds the two Hatred weapons.
It’s almost unfathomable that there’s no mention of this door on any discussion page in UESP. There are discussion pages on that site that date back to 2006, so no one mentioning a mysterious, locked door —a tantalising prospect— is very strange, indeed. Perhaps it’s a testament to how few people explore the Oblivion gates outside the ones related to the main quest?
In the end, the locked door just appears to be cut content that was erroneously left in the game. Still, the lack of discussion about the door online is a mystery.