There are a few items in the game that, either due to bugs or intentional decisions, you keep for the whole game.
For instance: I usually end up with a Portal-Rune I can't use anywhere.
If you have entered Khorad-Nur, you should not need to keep the key. A portal you should of activated in the town will let you back in in the event the gates become shut.
If you want to be safe, you can stick it in your Chest-Stash, but as far as I've seen in the game you should not need it by now.