You're right, no key is visible. Just an indication that there's a secret around there, but the wall isn't where you'd expect it to be.
Not to mention two maps later ID pulled another one - you can get a guard to open the first locked door on E4L7 immediately if you fire, and proceed without the key, but if you fail to make it through the door (or kill a guard in the door), then not only is your required key hidden in a secret, but it is also possible to block access to that secret completely - possibly the one and only feature in the original Wolf3D that I completely do not approve of (since if you didn't save your game and kill all the enemies, and then block the key off, you will be permanently trapped with no way to die [and restart the level] or proceed). But I never failed to get a guard to die inside the door - it's just the idea that you should never have the ability to trap yourself completely, no matter what you do. This happens again on Level 17 of Return to Danger but that game is really very poor anyways so that's just icing on the cake.
My next post (no sooner than Friday as to give Dean the midweek) will probably be something else, but I definitely have more level analysis posts brewing.
And without spoiling for which map it is, one of them is so long I expect it to be at least a 2-3 part feature on its own!