Check all your party's inventories. If you find the key, make sure that character is highlighted when you try to open the door.If the key has actually vanished and the door still won't open, then there's probably something wrong with your savegame. If that's so, you shouldn't proceed anyway, because other things will go wrong later even if you cure this glitch. It's a nuisance, but fortunately, you're close enough to the beginning of the game that starting a new party won't be a huge loss. Sorry about that!
