A new feature of Doom Eternal are the Slayer Gates. Check out this Doom Eternal Slayer Gate guide to find all the gates and the keys that go along with them. Your reward will be more weapon points and an Empyrean Key.
Doom Eternal Slayer Gate Guide
The key is through the cave near there and above it. Look up to see a Dash Boost with an opening behind it. Climb up and dash behind the boost to find the key.
The gate in this one is towards the end of the level. Head to this area on the map.
You need to go underneath where the large statue is and dash to a yellow baton you can use to jump. Follow the tunnel all the way and at the end you can jump up to get the Slayer Key.
from GamersHeroes http://www.gamersheroes.com/game-guides/doom-eternal-slayer-gate-guide/