Shawn is in some underground prison and is trying to escape with Cassandra and Paolo. At the gate where the lost souls are wandering, it says I need to find a key, so…
Where to Find the Key?
If you’re standing in front of the locked gate, keep heading to the left until you encounter the pressure plate puzzle.
After solving that head up the ladder and after the cutscene head again to the left to the “throne room”.
There’s another puzzle here to unlock the gate to get to the actual throne which is where you want to be looking for the key.
Hope this helps!