@CeasarSalad,
I think it's a creepy request, from two perspectives:
- there have been very well publicised stories from around the world of men keeping women locked up in cellars for years as sex slaves(presumably it's not the cellar that he wants locked), so why he'd want someone that comes so close, and would have a huge social stigma, is worrying.
- he doesn't want to tell you why he wants a locked room that only he can access.
I'd be running the other way.