If you got the new key from the police station pillar, then you likely missed a key earlier in the game.Opened the chest above sister Judy's room with that one. I'm talking about the chest in the cave just be4 the guild's hideout.
Talk to random NPCs (or the same one over and over again) and you'll get hints on where to find some keys. When they tell you to go away, you have your shit together, or they have nothing to tell you, then this means you've got all of the available keys thus far.