What it means is that there is a bathroom down the hall that is yours alone. It is kept locked and you are given the key. It is more annoying than it may sound. Every time you want to use that bathroom, you will go through these steps (though if not traveling alone, you might skip some):
Find bathroom key
Unlock room door
Exit room
Lock room door
Walk to bathroom
Unlock bathroom door
Enter bathroom
Lock bathroom door
...
Unlock bathroom door
Exit bathroom
Lock bathroom door
Walk back to room
Unlock room door
Enter room
Lock room door
Not.fun.at.all. For one night, to save a lot of money, OK. For more than one night, a very annoying experience.
The existence of places with this situation is probably the genesis of the British term "ensuite bath", which means the bathroom is inside your room, as it is in all modern lodgings.