Maybe try another character?

There is a step you must finish before you can pass through the cave. Leave Xur's area by going into the pink smoke. Once you enter the outside area, head on an angle to the right. You should see a small rock outcrop. On that outcrop you will find a small rectangle anomaly, its a pain to inspect it, but once you do, head to the left side of the map. Keep searching and you should be able to find the cave. Or, add me as a friend and if you see me online just message me and I will take you through it. Or you can watch this: https://youtu.be/uSV6INBFQEk?t=3 Edit: Sorry, I didn't see that you don't have the quest. I just thought you were stuck where I was for a bit.