The armoury is a bit south east of the smith's room with the lava forge. There are no great weapons there, however, which the soldiers in the room will comment about.
Which key are you looking for? The key to the outer door is held by the guard on duty. You can give him some white rum (from the room with the chess game), or remove your disguise armour so he turns hostile and kill him for it.
The key for the cupboard can be found inside the room (use the alt key), though check out the room a little more carefully if you got in and are looking for the book.
The key for a hard to spot chest is in the parcours, though it only contains some random low level loot.
If you had talked to the medic again, he would have mentioned something about cleaning imps having the book last. It is mostly hidden behind a hay stack in the left spider cell in the arena, on the starting level (just leave the citadel they way you came in to get back there).
