Get the key . . .
You see a beautiful woman in shining plate armor, holding a claymore in one hand and a mace in the other. Her fair golden hair shines in the dim torchlight. You call the guard over. She comes.
On closer inspection, you decide she looks too formidable and you'll just escape by punching the locked door.
She looks pretty full of herself. You decide to try the gentle art of seduction to get the guard to hand over the keys.
The guard seems kind of gullible. Perhaps a bit of distraction might work to allow you to pickpocket the keys.