[LyricalAura]

Then, what about a theory like this?

At the time Rosa had Battler open Natsuhi's room, she had all five master keys. The keys never left her hands after she gained possession of them. However, it was never confirmed that Rosa received each key at the time she believed she did. One of the "master keys" she acquired earlier was a fake. The culprit used the real key to construct the locked room, and then had Maria switch it with the fake key in her bag. This could have been done most easily during the time when Rosa and Battler were both asleep in the parlor.

...Although, the door and windows were locked from the inside so external tricks are probably all denied anyway.

EDIT:
Another version. Rosa was still in fake murder mode, and was fully aware that she'd received a fake key because this was planned ahead of time. While Battler was asleep in the parlor, the culprit passed the real key to her through the window. This is why she checked the window locks before leaving with Genji.