The simplest answer is that you will get the key as part of a side quest, “A Rare Card Lost,” which can be found on the quests board in Kalm. I came across the shack while exploring at the very beginning of the game, and I thought I was missing something, but it is really just a matter of continuing the game.
How to finish "A Rare Card Lost" Side-Quest to Get Access to Thorin's Card Shop and Winning The Chocobo & Moogle Card:
After accepting the quest “A Rare Card Lost” from the quests board in Kalm, you will need to head to the bar to talk to Vash. He will tell you that he had a very precious rare card he lost to someone while playing against them and will urge you to go get it back for him. Accepting the quest will prompt him to try and test you in a game of Queen’s Blood, Final Fantasy VII Rebirth’s flavorful mini-game that opens for you early on in the game.
He is not a tough player, so you will be able to beat him in no time. He will then send you to fight the guy who won the card from him out in the town of Kalm.
You will face Virgil next, who is a tougher player than Vash, but you will not have a hard time beating him. Strategize by winning one column with a high number, and you will secure the win. After beating him, he will tell you that he actually lost the card to someone else—yup, it is Thorin. So you will finally head to that mysterious shack.
You will find Thorin’s Card Shop just a little to the northeast of Kalm, on a high hill all by itself. Going there will prompt another fight with Thorin himself.
Getting access to the shop will grant you the opportunity to purchase new cards. Make use of that if you are in for new cards for Queen’s Blood. Challenging him and beating him will complete the last requirement for this quest. Going back to Vash, he will reward you with the Chocobo & Moogle card that you went to lengths to get back.
