There is one in the first section of the Sancre Tor shrine, but it's a basic enchanted dagger and not the best tool for what you need to do. Make sure that you have a weapon capable of damaging the more powerful undeads (Silver or better) before you go. You'll encounter skeletons and such on the surface of Sancre Tor and it's a relatively large area, so finding the entrance might take some time. However, some of his handiwork is still around, including the curse on Sancre Tor. At any rate, the Underking is long gone, banished to whatever realm of the hereafter might be appropriate when the Totem of Tiber Septim was used to activate the Numidium many years back. The darkness is the result of a curse from the Underking (Daggerfall players will remember him as Tiber Septim's battlemage, Zurin Arctus), but you won't get that info from Jauffre. Jauffre will give you the key to the shrine, but fears that he's sending you to your death. Well, that's not quite true - no one has returned from Sancre Tor in years Sancre Tor claimed the lives of the four greatest Blades of Tiber Septim's day (Alain, Valdemarr, Rielus and Casnar) and no one has gone there since. Then a great darkness descended on the shrine and no one has been to Sancre Tor in years. Jauffre confirms that Tiber Septim gave his bloody armor to the Blades after his victory at Sancre Tor, which became a shrine for Blades pilgrims. When you talk to Jauffre, make sure that you follow up on the "armor of Tiber Septim" thread to activate this quest. I've put it with the "Blood of the Daedra" and "Great Welkynd Stone" quests since they are the three quests where you need to retrieve items for Martin to open the way to Cameron's Paradise but it does run at the same time as the "Bruma Gate" and "Allies for Bruma" quests, so the order in which you complete them really doesn't matter. It's pretty easy to get side-tracked from this quest since it's activated at the same time as the Bruma Gate quest. But Tiber Septim, who became the divine Talos, may have left some of his blood behind during his mortal years and sends you off to talk to Jauffre about it.
Unlike the Daedra Lords, however, summoning one of the Nine and asking for some blood is not going to happen. When you give Martin your daedric artifact, he'll tell you that he has figured out the second ingredient needed to open the way to Cameron's Paradise: the blood of a divine. Beginners Guide to Oblivion: Blood of the Divines