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In this case the room it's in was a garage, so single skin. We've insulated the whole thing etc so it made sense for it to be on the inside of that room. The door way will also be lined with douglas fir so think that it's more visually appealing this was around as you will see it when open or shut. I'm not sure if there is a rule though.
Maybe this helps give an idea what it looks like - that’s a double pocket door. So as above says you build a separate addition of wall for it to fit within.