On one of the upper balconies! Right on the spot where the mercenary was shooting from above.
This key was collected by accessing the interior of the building, and climbing the vertical staircase that was in one of the corners of the main room. When you reached the roof, you had to break a window to continue through a hallway, break another window and jump over the red roofs to fall on the balcony.
Likewise, if we continued down the corridor, we would arrive in a very luxurious room where a Dobberman was waiting for us. This room communicated with another glass corridor at the end of which there was a switch.
The luxurious room had several candlesticks around it.