This is what I would go for in this context. We generally say 'Where are you going' when someone is leaving the scene but the two characters addressed in the film are coming into the room and furthermore interrupting the secretary and her interlocutor. Consider also, 'Well, what are you doing here, comrades!' It's up to you what you think might fit beast... You know the characters and context better than me...

Proposition.

Я бы передал так,
Why are you barging in or butting in, comrades!
Дословно здесь перевести не нужно, и не объязательно перевести междометие "Ну" дословно и отдельно. Только по смыслу. По разному можно перевести, но кто как передает, и кому как.



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Note added at 3 hrs (2020-09-12 01:32:43 GMT)
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I would replace comrades with "guys" as Frank's version, if you don't want to specifically highlight a Communist form of address,

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Note added at 10 hrs (2020-09-12 07:52:49 GMT)
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For example:
Granny was silent for a moment, then she said:“Go then, my child, and I'll wait for you here.”The lord and lady were sitting together, happy in their love, talking.“Why are you barging in like this?” said the lady when I entered.“Permission requested to go to supper, my lady,” I said.“Go, then, and have your supper!” (Chapter XXVII page 18)
Russian version here;
Старушка помолчала маленько да и говорит мне:
– Ну, так иди, мое дитятко; я тебя здесь обожду.
Пошла я к господам, а они сидят рядышком, такие веселенькие, о чем-то меж собою разговаривают. Я вошла, а пани.
– Чего суешься?
– Позвольте, – говорю, – пани, мне поужинать.
– Ступай себе, ужинай.
http://sites.utoronto.ca/elul/English/Marko Vovchok/Vovchok-...
https://bookz.ru/authors/marko-vov4ok/institut_149/page-2-in...

"Hey" sounds much more natural than "well". The option is short like your text, as long as you drop the "are," which is also perfectly natural in speech. Them going into the office doesn't make a difference.

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Note added at 2 hrs (2020-09-12 00:26:35 GMT)
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I thought they were trying to go past the secretary and into the boss's office. After watching the scene, I think you should go with:
Excuse me!
What do you think you're doing?
(this is a rhetorical question and a castigation, as opposed to actually asking them what they're doing there).


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Note added at 1 day 16 hrs (2020-09-13 14:48:44 GMT)
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Excuse me!
Where do you think you're going? (also works)

If you want to keep "comrades," I'd add it to the first subtitle (due to length) ->
Excuse me, comrades!

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Note added at 1 day 16 hrs (2020-09-13 14:50:21 GMT)
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If you need to shorten the whole thing:
Excuse me, comrades!
Where are you going?