Where is the Keychain lock icon located?
Apple doesn’t store all icons anymore for compound items and overlays the key icon over the lock icon in this case. The same with the finder icon over the lock. 

Here are the two sources:

Lock Icon

The lock icon is located in 

/System/Library/CoreServices/SystemAppearance.bundle/Contents/Resources/Assets.car



Install Theme Engine

Note: You may want to download the released version.
Open the file
Select Security
Drag the icon to the desktop to convert to a png




Keychain Icon

macOS just places the app icon in front of it.  In this case the KeyChain icon is in 

/Applications/Utilities/Keychain Access.app/Contents/Resources/AppIcon.icns