it’s very possible that the game didn’t account for that, but as a quick-fix: if you find a locked door and there are no other available paths to explore, you instead find a key.
sorry to hear you got stuck!
I just checked the PDF to make sure, and you didn't misunderstand: the rules as presented don't account for the possibility of finding a locked door with no keys available. I'll elaborate on my above recommendation for a quick fix:
You can think of it like the Grey parting before you, or maybe you find a key along the way that's shaped differently from the others. Either way, if a locked door makes it so your game can't continue, you have my permission to open it anyway.