I would do it with a blueprint for the key with the key and a box around. Then use the box to create a “In-touch with and pressing E”. That would a bool that says if you have the key or not. Then destroy that actor so no other player can get it. The best would be if you could pass the bool to you pawn so you have it at all times. Then pass it from there to the blueprint for the door.
Create the door with a “lock-function” so that the door can only open if a bool is used as the look so you can only play the door anim if you have unlocked the door. If you have passed the variable from your pawn to this blueprint you should be able to use it for locking/unlocking the door.
Sry for the short answer, don’t really have the time right now to give you a real tut on it. But check the youtube tutorials and it will help you a great deal! Just wanted to give you an idea on how you could do it 
Happy Blueprinting!
- Oscar Hvarfvén