There is one and only lockpick within Elenwen's Solar in the Thalmor Embassy, on the bookcase behind the desk in the room on the western side where Gissur and Rilundil were speaking when you first entered.
I guess it would be pretty hard to open all the display cases and the interrogation room with only one lockpick, but not impossible. Either with very good luck, or a lot of savescumming.
The expert level display contains two crossed elven daggers, a gold and ruby circlet, and a gold and emerald circlet. So 1140 septims worth of loot.
And there is a key to unlock the master level interrogation room door, so you don't need a lockpick for that.
But for my money, the lockpicking XP is worth more than the loot, since there are a finite number of locks you can pick in the game for XP. So nevermind the loot, nevermind the key, it's worth it to unlock both with a lockpick.
See for confirmation https://en.uesp.net/wiki/Skyrim:Thalmor_Embassy