I didn't have trouble finding the key. Unless I'm mistaken, the key is given to the player after killing what I think is the boss. I was killing all enemies anyway, so no trouble there.
The blue key room (I have a video. DM me on discord if you want to see it) is 4 rooms connected by the corners. There's enemies, but no exit portal there. You can walk into the void to reset, so I guess it's not a true softlock, but seems unintended.