I notice you've tagged this as 7.3.1. I don't have one of these readily available, but on Pega 8.4.1 the behavior is as I expect and I would expect it to be the same on 7.3.1.
That is, it attempts to do the Open with an empty key, fail to open an instance and put a message on the Data Page saying "No records were found ..."
This is the same result as if you provided a key which did not identify a record in the lookup class.
If the rule using your Data Page is likely to hand over an empty key or a key that does not find a match, that rule should check whether the Data Page has messages on it (or checks the pyErrorPage embedded page) before proceeding with attempting to use the data. Platform 8.3 introduced a convenient When rule @baseclass.pxDataPageHasErrors which can be used where the Data Page in question is the Step Page. Create something like this if you are on an older version: