So I re-made one of my characters and was trying to get through the Asylum quickly. (Started as a Thief w/ Black Bombs)...I killed the Asylum Demon (which if you kill him on first encounter there is no key drop from him, iirc). Immediately after I killed the Asylum Demon, I heard Oscar stab himself and kill himself...(I never triggered this...I was still in the court yard). I ran into his cell and only found his loot (which was just the F2 key alongside the Estus Flasks).
I didn't get the Big Pilgrim Key from Oscar...so.....can't leave the Asylum.
Any idea why this happened? I just spent a long time in character customization and I'd really like to not re-make my person..