In the room with the beds, there is a chest top right of the screen. Check it from all sides and you'll get the Key you need, if you have read all the diaries. It's a bit obscure to figure out.
So in case there are also others wondering, the key you're supposed to look for is the Quartermaster's Key, which is found in the beds. That key is what you need to unlock the door in the bedroom. Captain's Key is used for the boss fight door.
