You cannot. Dwellers in the wasteland still requires living spaces in your shelter.
If you need to change the room directly connected to your vault gate, you must kill/remove everyone to be able to delete it.
However, once everyone is dead and removed, dwellers will start appearing outside of yourDwellers waiting at the vault right away,door needs to be saved up so you don't have to worry about not havingcan immediately put in new dwellers.