I agree with Chel. Dogs are so smart (especially terriers) that if you say hang a bell or something, so it's shiny and easy for those mostly color-blind eyes to see when it's OK to come in, then he will quickly learn to put the breaks on when that isn't there. [You can use anything, as long as it's readily visible to him from many feet away].
Perhaps hang it on a string long enough to be pulled inside when you are locking the door.
If not a bell, remember they are mostly color blind and can see greens and reds best.
would have to remember to pull the bell up when you lock the doggie door. If you forget he'll get confused and not know anymore whether to trust your signal.
It's like leaving a "do not disturb" sign out for him
BTW, I have a Pepper too, a Shih Tzu/Poodle mix: