Well the volumes are not rendered so there should be no performance hit there, but some experimentation would be required. If you can get away with one larger volume than that is obviously better.
The other choice is a volume on the outside of the door that is triggered when you enter and sets a flag on your player to say they are walking in and another volume on the inside of the door that sets a flag on your player saying they are walking out. It could be one boolean flag like “isIndoors” and you can use the same principle as above, without having to create these huge volumes or excessive volumes.
This would probably be the best solution for you in this instance.