The key is dropped by the chamberlain (Human, Normal) off the main hall in Redcliffe Castle - Main Floor.
- You can obtain the key after you initially meet Connor. In this case, you will fight several skeletons along with the chamberlain. The key opens the vault on the second floor, which you can also lockpick with 60 Cunning or 10 less Cunning for each talent invested on the Deft Hands tree. Unlocking the door, either by using the key or lockpicking, grants 50 experience.
- The vault door will close after you rescue Connor, so get the loot while you can or as said above lockpick it later.