The Desert area with the dervish. Once you defeat the spawn, it doesnt drop the key.
This is a common bug with creatures with lootable corpses since EE - I've amended the corpse type so it should just be a bag or w/e. Please let me know if it works!
Just to confirm this is still a problem, you defeat "The Dervish" and the corpse doesn't despawn and nothing drops from the body.