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She’s in Lord Gorum's Keep, Grim's Well. You need the Blue key to get to Audra. You need Lord Gorum’s key to get that key you need to work for him.
Audra is upstairs. Lord Gorum told you the key to her room is on the shelf there. That's the blue key. The door to upstairs is to the right (east) of Lord Gorum's door. You'll see a gate when you get upstairs, that leads to Audra. You need to use the Blue Key on that gate.
If her door is locked, she gave you a love token, Audra's Token. Bring it back to Falki.