Well Cave is accessed by taking Beatrice's quest. Many chests with matching keys can be opened with a high enough lock-picking level. If you lock-pick a chest before you find and use the matching key then it will appear that key has no use. You can never tell if a chest has a key that goes with it or if a chest with a matching key can be opened through lock-picking, so if you find a key and it doesn't go to anything then you probably already opened it.
Also if you find a key in a house it probably goes to something in that house.
