hmmm....don't recall the exact door. does it say 'needs a key cannot be picked'? or is there another passage that comes up behind it and it's barred from the other side? look for other passageways (secret) that might open if you pull on a chain or a lever or something like that. sometimes they are hidden in corners.
edit - found this on the elder scrolls wiki: "A switch just to the left of the staircase hides on the wall next to a flaming white bowl, revealing a quicker exit out of the dungeon which is where you first encounter two Falmers. "