If you're talking about the two small prison cells in the top corner of the map, where as you rightly said Mazzy and her friends are, then yes they can be opened, although I cannot remember exactly where the key is...sorry it's been a while since I played the game. I think there is someone standing in front of the doors whom you have to kill to get the key.
No match means the dragon will be easy meat
in other words yes, you can probably kill it.
BTW If by closed doors you mean the ones in the middle right of the map, the ones you open with sun gems, there are three of them and only two of them you can open.... you can find an alternative route so that you don't need to open the 3rd door.
Hope this helps, good luck!
------------------
Melusine, Archbabe of the OHF and the LH
Your voice is ambrosia