Is it a bug?
 

Whenever I dig a treasure from the grave and try to open it, it tells me: "you mus locpick or have a key…" I do have a lockpicks, I have lockpicking skill 2, and I have even tryed with unlock spell and it still doesn+t work. Am I doing something wrong or is it a bug??

Odds are you've dug up one of the chests for the plot related quest for Patty. She will give you the key that opens them when the time comes. Those chests cannot be picked.

THX, one treasure chest is on a small island that you can access walking through shallow water from the beach which is close to the back entrance of the Harbour City. Second chest is located on a small graveyerd which is on the right side almosti immediately after you exit the swam area…

Yep both those chests are quest related, as Holywhippet said.