Where is the Hound Pit key?

Solution 1:

This key is actually, technically unobtainable. It can be obtained by using this little glitch taken from the wiki...

Before the start of the House of Pleasure mission, if Corvo manages to get into the sewers before receiving the Old Port District Key from Havelock (by possessing a Hagfish), then he will find a key inserted into the door leading to the basement (which can also be seen using Dark Vision). Picking it up will grant Corvo two keys: an Old Port District Key and a second one with a bugged name, "?INT?RPG.DisKeyNames.?". This key actually corresponds to the Hound Pits Key and lets Corvo get into the building outside the pub where Sokolov is later detained. However it can only be used when picking it up and at the end of the Lady Boyle's Last Party and Return to the Tower missions.

Solution 2:

AFAIK, you can not get that key (or there is no key). If that door is locked, you can not get in.