To obtain the Gold master key, you'll need to kill Bhrisch in the Sultry Chamber zone in the Molten Lands. Once obtained you'll need to open all gold chests in all 3 main areas on the map.
Luckily these are denoted on the fast travel map with indicators in every quick travel zone. You should do this prior to the 4th zone which will have you finishing the story.
Feel free to comment or DM with any questions, comments, or concerns!
~ Slayer