The Maze key is used in the Dragon Slayer quest to open the main door to Melzar's Maze. It is obtained during the quest from the Guildmaster in the Champions' Guild. If you lose it before or after completing the quest, you can trade another player or you can buy one from the Legends Guild. This key has no use after the quest, however you can feel free to explore Melzar's Maze anytime you want.