its in one of the guards inventory
Usually getting caught pick pocketing calls new guards.
Some guards should have come and attacked you while the man in the cell was being interrogated. They key is found on one of them or on the two enemies that were in the room initially.
Ask the little kid running around the town
Just simply kill one of the guards, and then search through their inventory to get the key.
dressed up as guards
People in Skyrim will ask you to leave their house or business if it is late in the day, night or early morning. They will ask 3 times before attacking or calling guards.
He will stop following you once you escape from Helgen Keep.
Yes there are some but there are some in houses so be careful!
Escape? There are no fences or guards making you stay. If you want to leave and have the ability plus passport you can leave.
at night go to there houses but when they spot they will wake up and tell you to leave or they will call the guards unless they know you or you did a favor for them
Assuming you have the prerequisites of having progressed in the thieves guild and purchased the bribery perk, you just need to get into trouble, talk to a guard and bribe them.