After being half-raised by Hermes, Orpheus is a little bit desensitized to the rage of the gods. Not that Hermes was ever the type to rage much, but the point is Orpheus is a lot more willing to just treat them like anyone else even when he maybe shouldn't. As it stands, he just shakes his head and grabs Thanatos's arm again, this time more firmly and with both hands.

He doesn't want to stop singing - not when it seems to be working so well, and when the notion of it not working could easily spell death or grievous injury for him - so all the warning Thanatos gets before Orpheus yanks the both of them back towards the door is eye contact and a determined nod. If whatever is possessing Thanatos doesn't want to go through the door, then it sounds like it might be a good idea to go.

"Au clair de la lune,
L'aimable Lubin;
Frappe chez la brune,
Elle répond soudain :
–Qui frappe de la sorte?
Il dit à son tour :
–Ouvrez votre porte,
Pour le Dieu d'Amour."