The head priest (Albion) was carrying a key. Search through the piles of loot to find it. On the ground a key appears as a small brown bag -- miscellaneous item. This key unlocks the exit door.
I once picked the lock of the exit door, so it can be done. But you don't have a thief. You might be able to bash the door. Worth a try. Or use the Knock spell if your mage has it.
The remaining locked doors you'll have to bash or Knock to open, I think. There's a party of friendly adventurers behind one and a worthwhile treasure chest behind the other.
The adventurers are useful. They'll watch over you while you sleep. It's otherwise impossible to rest on this level. Or you can kill them for their gear.
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