Below is a walkthrough for the Cheesy Pick-Up side quest in Tiny Tina’s Wonderlands. To obtain this quest, interact with the Cheeto near the Shattergrave Barrow map transition after starting the Thy Bard, with a Vengeance main quest.
Reach made up dungeon
Head to the dungeon that appears across from the Cheeto after accepting the quest. Complete the 2 encounters. After defeating the second encounter, loot the chest to receive the Key then enter the portal.
Unlock the path
Head to the Cheeto and use the key to unlock the Cheeto. Afterwards, the quest will complete.