It seems the old Persons in Distress mini missions are still bugged.
So, as soon as you get an indication of a PiD, manual save straight away!
The only way I've found of making these work so far, is to go in hard & fast! No tactics, kiting, retreating, crossbowing, bombing from a distance etc. The key seems to be killing all the bandits as soon as poss to ensure getting a key.
This 'strategy' risks a death, hence the manual save a.s.a.p.
Depending on the situation & your initial approach, there can sometimes be auto saves just prior to commencing a PiD, fast travel for instance, so if you come here after having done a PiD & getting no key, check your saves, you may be able to backtrack that way. :)

I've only had one bug out on me. Some guy in a cage near the army up by the river in Velen. For some reason the army itself tolerated the bandits living right next door, as well as their captive. The first time, the captive wasn't in the cage, nor was there a key. The second time I went there, he was in the cage, but still no key.

Somewhat annoying, must say.

At least in 2 cases PiD, were standing next to their cage instead of being in it. The only way to free them is open empty cage 0_0.

In early versions there were problems with keys but it's ok by now.

Yeah anomaly, that one was my first & remains broken! Funny thing with that, whenever I go back there, 3 more bandits appear, I kill them but there's never a key & usually there's no one in the locked cage, or beside it! :)
Sten, it's not fixed now, as my latest was only very recent, possibly yesterday, version 1.06 anyway.