There are two portals in Exodar. If you are entering the Vault of Lights from the Seat of the Naaru (center), go left at the stairs and you will find two portals: one to Darnassus and the other to Hellfire Peninsula.
If you want to get to Stormwind, take the Hellfire Peninsula portal and then click on the Stormwind portal when you get there.
There are two doors to the exodar. To enter the Gallery of Light from the Naru Seat (center), turn left on the stairs and there are two doors for Darnasus and Hellfire Peninsula.
To get to Stormwind City, go to the Hellfire Peninsula portal and when you arrive, click on the Stormwind portal.