Things You'll Need
Instructions
Install an updated Oblivion patch. This may not help if you are already at the door but could prevent future problems.
Press the "A" key repeatedly. The "A" key is the default key used to open doors. Press the key you use to open doors if you have changed the default key settings. This method sometimes works but is not guaranteed. You might have to press the key repeatedly for five to 10 minutes. Listen for a click; this means the door has opened.
Use a levitation potion or spell to escape through the hole you jumped down to enter the cave and leave through the front door. Note that attempting to leave through the entrance could cause a glitch or freeze your game.
Load a previously saved game.
Press "~" to open the cheat dialog box. Type "coc X" without the quotes and with "X" being the location code for the location you wish to teleport to. You will be teleported out of Mire of Ash.