All the keys are in the level, and in some cases behind hidden walls. In level 1 for the brownish / orangeish key you should have found it when you very close to the green key.
On the white doors that you can't open - those are either white marker walls (ie NOT doors) or maybe walls that you have already pushed open. As long as you are facing a door and hear it and you hit fire it will always open.
And thanks - it has been a lot of fun getting it going.