Mystery Dungeon Blue, eh? Haven't played that in a while... but I do have a scoop on keys for you:
Keys can be found scattered across dungeons, the easiest ones to get, dungeon difficulty wise, are in the Desert Region, as quoted from the pokemon in-game newspaper. Usually, you can get 1-2 keys on one expedition, though they're mostly found within the central levels I believe, though it requires scouting. I highly suggest having the x-ray glasses on one of your pokemon to know where items are, this is the quickest way to scout for items. And it can help tell you which enemy has the key should one pick it up, watch the text on the bottom, it says when an enemy picks up an item. They also appear in other dungeons after the main story arc, though many need hidden machines to reach them. That answers your question, I can go into something deeper about the doors that the keys unlock, something I remember more clearly.
Oh yeah, and keys can go to any door, so don't worry about finding specific ones
Its just what I needed.