There are also Torturers, etc, who are not him.
From the large Snake Head room where the description says the jaws "look like they were meant to open". Look behind you, and use the levers. Facing the Snake Head, go to the left. Following the left wall, and he is directly behind one of the doors.
If you think you already killed him, then you will have to look very closely in the torture chamber. Leaving the area to reset the loot (except quest items) and casting "Spirit Eye" will help spot any dropped quest items. This also really helps if a quest item gets pickpocketed (fairies and nymphs rarely do this).
Technically, you don't have to get the Key. In a pinch, one of us can tell you what the prisoner says, or you can look on Ironworks.