The zealot's key is a quest item used in the Haunted Mine quest. It is obtained by pickpocketing the Saradominist Zealot guarding the entrance to the mine south of Mort'ton. The key is used to activate a water pump deep inside the mine.
This key cannot be put on a steel key ring and once the Haunted Mine quest has been completed it can be returned to Zealot by talking with him. Once the key has been returned you cannot pickpocket another.
For an exhaustive list of all known sources for this item, see here