I don’t remember how you get it, but there’s a lock pick you need to find and give to the guy in the cage, then some time after that the door is opened when Miss Knives leaves the room
There’s a hallway beyond the locked door that you can hear someone singing behind. It leads to another hallway with photos of the blessings. You have to put the photos in the proper order then click on the last one to the right and it should catch fire and drop the lighter.