Answer:
It means that people keep themselves in Hell. The lock is on the inside of the door, which means they locked it and (potentially, at least) could unlock it. His meaning is colorfully illustrated in on of his shorter books, The Great Divorce. The quote itself appears in The Problem of Pain: "Finally, it is objected that the ultimate loss of a single soul means the defeat of omnipotence. And so it does. In creating beings with free will, omnipotence from the outset submits to the possibility of such defeat. What you call defeat, I call miracle: for to make things which are not Itself, and thus to become, in a sense, capable of being resisted by its own handiwork, is the most astonishing and unimaginable of all the feats we attribute to the Deity. I willingly believe that the damned are, in one sense, successful, rebels to the end; that the doors of hell are locked on the inside."