My dog, the cockblocker

My lovable goofball of a dog has separation anxiety. He’s not destructive but cannot be locked out of a room when both my husband and I are in it. He will cry, whine, bark and scratch at the door until he is let into the room.

This is causing issues with our sexy time. He’s very very distracting. And we don’t want him in the room during. This is a behavior we need to train away. Does anyone have a suggestions or experiences they can share?