If you do decide to install an aftermarket alarm system to get this feature, check out UNGO. It is a division of Clarion Electronics. I installed an alarm from them in my 240SX. Wiring in a custom job by yourself will be challenging because you will have to have a controller made, and it will have to interface with the solenoid or switch that controls the door locks.
UNGO
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Schleprock, Schleprock...stronger than steel!