Unless something has drastically changed with this update, it's not possible to lock yourself, you can open all the gates.
You might have forgotten to pick up a keystone after the blessed nephelym gave you permission to take it. Or maybe you missed the keystone you get after fucking Cassie and then the slime down in the temple dungeon.
It actually is possible to lock yourself out.
Steal the key from the slime (1 keystone)
Complete the Centaur quest (2 keystones now)
Unlock the Dragon Area (1 keystone now)
Complete the Dragon Matriarch quest (2 keystones)
Complete the butterfly quest (3 keystones)
Unlock the Titan area. (2 kestones)
Unlock the Beehive area. (1 keystone)
Unlock the Jungle area. (0 keystones)
Alternatively, unlock the dragon area, beehive area, jungle, and the desert area.
At that point there are 2 blessed nephlym you can talk to: The bunny girl, who, wants a succubus or a bat and the Queen Bee doesn't have a breeding quest, you need the dryad in the cow fields.
So, unless the bunny girl asks for one of the Nephlym you have unlocked: congratulations, you are now soft locked out of the game progression.