I've been looking all over this house for the safe this key goes to or some other evidence, but there's nothing. What the Hell?

Go down the stairs and go straight into the furthest room.
there's a bed across from the door, go to it.
Standing at the foot of the bed, turn left.
there is a bookshelf with a chest on either side, walk to it.
the safe is on the left side of the bookshelf.

the safe key opens the named safe