I guess if you just leave the door open, sooner or later he will just go outside by himself. For now, he propably associates going outside alone, with being alone and not being able to get inside again when he wants.
You can try to give him a big bone or something like that while the 2 of you are sitting outside, and when he is really occupied with the bone, going in for a few seconds. By the time he has noticed you where gone, you are allready back, so nothing he has to worry about.
Do things like that more often and go inside for longer times. But make sure being outside is allways rewarding for him. So a big bone, some of his favorite toys, hidden biscuits… He will then soon learn that being outside can be fun and rewarding for him. And he will have to pee at one time, so as soon as he has done that a couple of times and has found a good spot to do that (a pole somewhere might help so he does it where you want it), he will after some time know to do that outside.
Just give it some time and make being outside fun for him and it will all work out.