I killed the clown and got the key, used it on the door but the door still won't open.
Interesting, I just downloaded the most recent build of the game and played the circus sequence myself and the door worked as it should.
Do you close the entrance to the maze upon entering? Because I left it open and let the door close by itself when its triggered at the end of the maze. Perhaps doing that will allow the key to work.
Sorry about any frustrations this might have caused.