You could try Mpenzak again; NPC inventories get re-set after awhile. Quick save before talking to or running your mouse over him (or hitting alt); then trade with him and quick load if he doesn't have any lockpicks.
Have you spoken to Finnigan in the Ducal inn cellar in Verdistis? The magic lockpicks he asks you to steal are unbreakable (if you have at least the 1.32
patch installed), though in a game started before installing the 1.34 patch, they will disappear if dropped on the ground.
