The Key opens the side door to the American Museum of Natural History in New York.
The museum was used secretly as a base of operations by the Underground and apparently Harvey Osborne or his friend had one to enter it.
Anna Osborne also kept a key in her bag. After Phil Cook killed her in her home, the Manhunter took it from her bag, and followed them.
Another key, possibly useless, is also given as a prize in the Shop of San Francisco.