The brothel will convert you into a (pretty shitty as of current, like a worse enchanter), class, and prevent you from making any good gains from brothel work too. The dignity loss and lust gains can also burn your willpower in some situations.
Keys are on start or bought only, unfortunatly.
Money can be gained semi nicely through caches, doing brothel missions for the blonde lady for a bit, or beefing up enough to consistently do arena fights, which is where real money at, findable in Monsters, the town.