Should a worshiper interrupt his prayer if a woman enters his room and there is no one else present?

If a person is praying in a room and a non-mahram woman enters, resulting in a state of khalwa (private seclusion), he should not interrupt his prayer. However, he should break the khalwa after finishing the prayer by either leaving himself, or her leaving, or by opening the door; this is to prevent an unsupervised meeting that could lead to suspicion.