You have to assign a boolean variable to your Player, that says if the key has been already picked up or not. At the beginning this variable will be equal to false; When the Player enters in a collision with the key, it will turns into true. Then, you add this variable's truth as a mandatory event to open the door. Something like this:

//Player:
var doorScript : Door;
var have_key = false;

function Update () {
    var hit : RaycastHit;
    Debug.DrawRay(transform.position, transform.forward * 2, Color.red);
    if (Physics.Raycast(transform.position, transform.forward, hit, 2)) {
       if ((hit.collider.gameObject.tag == "Door") && (Input.GetButtonUp("Action") ) ) {
         if (doorScript.doorState == DoorStates.locked) {
          doorScript.doorState = DoorStates.unlocked; 
         } else if (doorScript.doorState == DoorStates.unlocked && have_key) {
          doorScript.Open();
         }
       }
    }
}

function OnCollisionEnter (theCollision : Collision){
    if (theCollision.gameObject.tag == "Key")
       have_key=true;

}

Well all you need is another variable:

    Player: var doorScript : Door;

    var hasKey: boolean=false;

    function foundAKey()
    {
    hasKey=true;
    }


    function Update () 
    { 
    var hit : RaycastHit; 
    Debug.DrawRay(transform.position, transform.forward * 2, Color.red); 

    if (Physics.Raycast(transform.position, transform.forward, hit, 2)) 
       { 
         if ((hit.collider.gameObject.tag == "Door") && (Input.GetButtonUp("Action") ) ) 
         { 
          if (doorScript.doorState == DoorStates.locked && hasKey )  <-----
          { 
              doorScript.doorState = DoorStates.unlocked; 
          } else if (doorScript.doorState == DoorStates.unlocked) 
          { 
              doorScript.Open(); 
          } 
         } 
       } 
    }

    Door Trigger: var doorScript : Door;

    function OnTriggerEnter (col : Collider) 
    { 
       if ((col.gameObject.tag == "MainCamera") && (doorScript.doorState == DoorStates.unlocked) ) 
       { 
         doorScript.Open(); 
       } 
    }

    Door: enum DoorStates {open, unlocked, locked}; var doorState : DoorStates;

    function Awake() { doorState = DoorStates.locked; }

    function Update () { Debug.Log(doorState); }

    function Open() { animation.Play("Open"); doorState = DoorStates.open; }

Then have another object that is a key that when is picked up calls "foundAKey()".