If you were not comfortable, you'd not have had a good time.  Could have been housekeeping, another hotel patron, LE, HER security (unusual)...   I probably would not have had the guts but it would have been interesting to bump open the wrong door & exclaim "Ooops, wrong room!"  just to see if it was occupied & by whom.  
If you were not comfortable, then you made the right call.  Simple as that.  It pays to listen to that little voice...  sometimes that's the only warning you get.  
skb

If I understand correctly? That was not cool.  A stunt like that could get you on a DNS list. Maybe the hobby isn't for you?

you could have considered.  (1)  Go back down to the hotel lobby and call the lady from a discrete location and let her know what you saw.  Depending on her response, you either cancel or go through with the date (2)  Gently enter the opened room and see if it was just left ajar because housekeeping needed to clean it (doors ajar often occurs in the mornings) and if occupied, bluff your way with "Oh, I must have the wrong room."  Then you could call and cancel the date even though it is last minute.

To be a NCNS is not cool.

First mistake was probably setting up appointment with someone visiting with no reviews, especially as a newbie!  But there is nothing wrong with listening to that little voice that says something isn't right here. Definatley would have called to cancel though, better then NCNS. but best case scenario is you got to walk away without wearing shiny silver braclets!!!

I mentioned it to the lady who said hotel security had asked LE for more patrols as there had been thefts from guests cars.  It was a little un-nerving as I was new but we calmed down & had a nice time.  
Now that we have discussed it, I would be prepared to check out an open room before bailing completely.   Agree, you should have withdrawn but then call the lady to check & see what's going on.   She is in a better position to check out the room next door than you...  
skb