Old thread, but I saw that people are still posting to it from time to time. On the off chance that this helps anyone, the area you need to jump down to in order to make the other characters appear on the other side of the door... It's from the bridge leading to where the boats are. From it, you can see the broken bridge, not far away.
If you jump down to the left, in the direction of the broken bridge, landing on the rock there, and begin to jump up towards it, the other characters will just appear up on the broken bridge. Switch to one of them, grab all the things, use the map to teleport out.
Assuming, like me, the key doesn't spawn for you, either as a drop or on a body anywhere in the caves.❤️