To obtain the dusty key, the Jailer outside of the cell must be killed. The Jailer will then drop a Jail key, which is used to unlock Velrak's cell. When Velrak is asked if there are any good places to explore, he will provide the dusty key. When giving the player a dusty key, the message states that he "reaches somewhere mysterious". This may be a reference to the mystery of players having invisible backpacks.
Despite him saying that the player "rescued" him and the cell is not comfortable, he never leaves his cell.