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Funny fix i found out about by accident.
Didn't have this problem at all, but if you get arrested by a Whiterun guard outside of whiterun, they'll take you inside to confiscate any stolen goods or to serve time.
That way you bypass the whole "Guard unlocking the door" action, and start of right in front of Dragonsreach.

And the main gate remains unlocked as well, so that's a plus.