This is actually a big difference between UV and lower difficulty levels.
On HNTR/HMP, if you spawn into a place you can't survive, you can usually count on the adjacent rooms being relatively safe. On UV, you can't; you have to fight in the room you're in, and running for a door is only going to get you in more trouble.
In the situation you described, I think your best option would have been to play dodgeball with the Hell Knight in the room you spawned in. Not a great option, but better than running for the doorway.