so i was woundering around aimlessly in white run and walked in to there keep with all the treasure
but the maind doors in the middle were locked and required a key

who has the key
also do all holds have a thing like that or just white run

I'm relatively sure I know which door you're talking about. That's not the treasury.

If you want to see what's behind this door, you'll need to talk about local gossip with the local barkeeper once you've hit level 20. It will then be quite self-explaining who has the key and so on.