Wind-up key is one of the two items needed to get the new train mount. You get it from the Lucky Dragon minigame on the north exit of Thais when the dragon steps on the middle purple tile in Thais/ yellow tile in Carlin.
It is also confirmed that it is loot from Lord retro (rare drop).
The second item needed is wind-up loco. You get it during the 25 Years of Tibia quest.