According to
http://wiki.project1999.com/Skill_Pick_Lock there's supposed to be a locked door with a minimum skill of 1 in Qeynos. The loc suggests it's one of the doors under the Arena, but none of them are locked.
As this seems to be the only door you can pick with a skill of 1, and as a bard I can't train myself up to 11 to work the Befallen doors I really need to know if I'm just looking in the wrong spot or what.