The key is in Shepherd Family Residence but You need to go to first to Sunflower City Streets and do a little riddle, then when enter to the shepherd family a girl is waiting in the entrance of the family after the ghost was catch, the key is in one of the rooms
it's inner the room? there's a way to reset the behaviour in the asylum. I played a old version, when i updated all the progress was keep. I dont know if that can do a bug or something