To add on to the other answers: Since we can't actually "teleport" at this point in time, we have to imagine what prepositions would make sense with similar actions, such as enter, travel, jump, appear, move, walk, run, and various others.
For example, you could write it as if they had suddenly appeared in the room. Or you could envision they moved in to the room. Or that they journeyed to the room from some other location. Or onto some location where that preposition is common:
Skipping protocol, the captain teleported directly onto the bridge of his ship. "Make ready to set sail, Mister Christian," he called to the first mate. "There is no time to lose!"
Almost any preposition is possible, as long as the resulting action makes sense to the reader.
While the main force engaged the rebels from the front, a small strike team teleported behind the front lines, quickly subduing their commanding officer.