You can click on the coal barrel, then drag it either over your hero's portrait or an open inventory window before releasing the mouse button to drop it. You can drag and drop loot to the DK or a summoning doll's portrait to put it into their inventory, but quest items would be better kept with the hero than the DK (summoning dolls can not hold quest items).
Did you go through all the speech options with Kegan? You start off asking him something about guard duty IIRC, then he mentions a woman and rum. You can try dropping the rum on the ground, and have your hero pick it up again, and see if that helps trigger the option to give him the rum.
You can also pickpocket the key if you have that skill. If not, temporarily remove the hero's citadel guard armour; Kegan will turn hostile, attack and drop the key when defeated.